Re: st: St: interpret the result of Hausman test

[John Antonakis <John.Antonakis@unil.ch>]

Do:

hausman one two, sigmamore

What does that give? If the hausman test is still NPD try:

ivreg2 y (x = z), endog(x)

Also, did you try it in sem as I suggested?

If the p value of the endogeneity test is < .05 then x is endogenous.

However, if your sample is small the test might not have much power (so 
I would be worried about endogeneity if < .10). If you have good reason 
to believe that x is endogenous then the iv estimator should be retained.

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 10:39, Hoang Dinh Quoc 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: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
> Sent: Thursday, April 19, 2012 3:23 PM
> To: statalist@hsphsun2.harvard.edu
> 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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