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Re: st: St: interpret the result of Hausman test
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: st: St: interpret the result of Hausman test
Date
Thu, 19 Apr 2012 14:55:26 +0500
Although not a universal rule but more conventional to compare the
p-value to 0.05. If p<0.05, reject the null and the other way arround.
SO what p-value in your case (0.0687) is greater than 0.05, so you can
reject the NULL but I am not sure how much straightforward that
rejection would be. Look arround for more references if you are not
covenced on these simple rules.
Best
Anees
On Thu, Apr 19, 2012 at 2:31 PM, Hoang Dinh Quoc <[email protected]> wrote:
> I have read about it and it is not clear to me about the interpretation of
> the result. It suggests to compare the coefficients of OLS and 2SLS and
> suggests the large difference means to reject the null (not problem with
> endogeneity); but it does not say how large to reject; for example I am not
> sure with the value chi2(1)= 3.31 and Prob>chi2 =0.0687 I can conclude to
> reject or not?
>
> Thanks.
> Quoc
>
>
>
>
>
> Test: Ho: difference in coefficients not systematic
> chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = 3.31
> Prob>chi2 = 0.0687
> (V_b-V_B is not positive definite)
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Muhammad Anees
> Sent: Thursday, April 19, 2012 4:16 PM
> To: [email protected]
> Subject: Re: st: St: interpret the result of Hausman test
>
> To clear all the problems,
>
> Note the Null of Hausman's Test (read more details from -help hausman-
> and any reference therein)
> Check the p-value from the results of the test and
> Decide whether to Accept or Reject the Null
>
> Is this not like that?
>
> Anees
>
>
> On Thu, Apr 19, 2012 at 2:04 PM, Hoang Dinh Quoc <[email protected]>
> wrote:
>> Thanks Anees,
>>
>> I am still not quite sure about your suggestion.
>>
>> The output of model OLS showed the suspected endogenous variable with
>> coefficient (.03589) and p-value (0.615); and model ivregress 2sls showed
>> the coefficient (.3302337) and p-value (0.025).
>>
>> My question is which model should I choose and do I have endogeneity
>> problem?
>>
>> Thanks,
>> Hoang Dinh Quoc
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Muhammad Anees
>> Sent: Thursday, April 19, 2012 3:45 PM
>> To: [email protected]
>> Subject: Re: st: St: interpret the result of Hausman test
>>
>> Hi,
>>
>> You can now easily select the model depending on the difference
>> between the estimated coefficient of (b) and (B) in the output, you
>> skipped. The p-value is self explanatory and suggest you can
>> accept/reject (check which one to go for) the null hypothesis of
>> Hausaman's test.
>>
>> Hope this is good now,
>> Anees
>>
>> On Thu, Apr 19, 2012 at 1:39 PM, Hoang Dinh Quoc <[email protected]>
>> wrote:
>>> Dear Prof. Antonakis,
>>>
>>> Thank you very much for your quick support.
>>>
>>> I followed your suggestion:
>>> "reg y x
>>> est store one
>>> ivregress 2sls y (x=z)
>>> est store two
>>> hausman one two"
>>>
>>> And I got this result:
>>>
>>> Test: Ho: difference in coefficients not systematic
>>>
>>> chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>>> = 3.31
>>> Prob>chi2 = 0.0687
>>> (V_b-V_B is not positive definite)
>>>
>>> With is result, can I conclude that no endogeneity problem?
>>>
>>> Thanks,
>>> Best,
>>> Hoang Dinh Quoc
>>>
>>>
>>>
>>> -----Original Message-----
>>> From: [email protected]
>>> [mailto:[email protected]] On Behalf Of John Antonakis
>>> Sent: Thursday, April 19, 2012 3:23 PM
>>> To: [email protected]
>>> Subject: Re: st: St: interpret the result of Hausman test
>>>
>>> Hi:
>>>
>>> I am not quite sure what you have done here.
>>>
>>> If you want to do this "by hand" do an augmented regression:
>>>
>>> http://www.stata.com/support/faqs/stat/endogeneity.html
>>>
>>> Else, use the -endog- option in the user-written program, ivreg2,
>>> available from ssc (i.e., ssc install ivreg2, replace), e.g. (for
>>> dependent variable y, endogenous regressor x, and instrument z):
>>>
>>> ivreg2 y (x = z), endog(x).
>>>
>>> Or do the usual hausman test via Stata, e.g.,
>>>
>>> reg y x
>>> est store one
>>> ivregress 2sls y (x=z)
>>> est store two
>>> hausman one two
>>>
>>> Finally, you can do this in the new Stata command, -sem- using maximum
>>> likelihood:
>>>
>>> sem (y<-x) (x<-z), cov(e.y*e.x)
>>>
>>> The test of the correlation between the disturbances is the Hausman
>>> test, as we explain in detail here:
>>>
>>> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On
>>> making causal claims: A review and recommendations. The Leadership
>>> Quarterly, 21(6). 1086-1120.
>>> http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf
>>>
>>> For more basic explanations see:
>>>
>>> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (submitted).
>>> Causality and endogeneity: Problems and solutions. In D.V. Day (Ed.),
>>> The Oxford Handbook of Leadership and Organizations.
>>> http://www.hec.unil.ch/jantonakis/Causality_and_endogeneity_final.pdf
>>>
>>>
>>> HTH,
>>> J.
>>>
>>> __________________________________________
>>>
>>> Prof. John Antonakis
>>> Faculty of Business and Economics
>>> Department of Organizational Behavior
>>> University of Lausanne
>>> Internef #618
>>> CH-1015 Lausanne-Dorigny
>>> Switzerland
>>> Tel ++41 (0)21 692-3438
>>> Fax ++41 (0)21 692-3305
>>> http://www.hec.unil.ch/people/jantonakis
>>>
>>> Associate Editor
>>> The Leadership Quarterly
>>> __________________________________________
>>>
>>>
>>> On 19.04.2012 10:14, Hoang Dinh Quoc wrote:
>>> > Dear Statalist members,
>>> >
>>> > I would like to ask you a question regarding the result of a Hausman
>>> test.
>>> >
>>> > My question is, with this result, if I conclude that I have no problem
>> of
>>> > endogeneity; in other words, I have no endogenous variable?
>>> >
>>> > I followed these steps:
>>> > 1. regress (OLS) to get a residual
>>> > 2. predict weak_rest1
>>> > 3. regress (OLS) using weak_rest1
>>> > 4. regress 2sls using IV
>>> >
>>> > Here is the result of the t test of the residual:
>>> > . test weak_res1
>>> >
>>> > ( 1) weak_res1 = 0
>>> >
>>> > F( 1, 355) = 3.34
>>> > Prob > F = 0.0686
>>> >
>>> > With is result, can I conclude that no endogeneity problem?
>>> >
>>> > Thank you very much.
>>> >
>>> > Best regards,
>>> > Hoang Dinh Quoc
>>> >
>>> >
>>> >
>>> >
>>> > *
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>>
>>
>>
>> --
>>
>> Best
>> ---------------------------
>> Muhammad Anees
>> Assistant Professor/Programme Coordinator
>> COMSATS Institute of Information Technology
>> Attock 43600, Pakistan
>> http://www.aneconomist.com
>>
>> *
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>>
>>
>> *
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>
>
>
> --
>
> Best
> ---------------------------
> Muhammad Anees
> Assistant Professor/Programme Coordinator
> COMSATS Institute of Information Technology
> Attock 43600, Pakistan
> http://www.aneconomist.com
>
> *
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>
>
> *
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--
Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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