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RE: st: St: interpret the result of Hausman test
From
"Hoang Dinh Quoc" <[email protected]>
To
<[email protected]>
Subject
RE: st: St: interpret the result of Hausman test
Date
Fri, 20 Apr 2012 16:37:26 +0700
Thank you very much for your explanation, Prof.
Yes, it seems to be quite different between iv and ols; for the variable x
(suspect var for endogenous), the model ols shows the coefficient is .03589
and the p-value 0.615; but the ivreg2 shows coefficient .3302337 and p value
0.020.
Did you mean that I would better take the ovreg2 for the final result?
Best,
Quoc
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Friday, April 20, 2012 3:53 PM
To: [email protected]
Subject: Re: st: St: interpret the result of Hausman test
According to the endog test, your regressor is probably endogenous
(given that you are close to the commonly-determined critical value of p
< .05) and thus requires instrumenting. Are the estimates of iv and ols
very different? If they are, and if your instruments are strong , which
they seem to be judging form the Anderson test and the Stock-Yogo
critical values, you may be better off trusting the inefficient iv
estimate, than the efficient (but probably inconsistent) OLS estimate.
See: http://www.stata.com/statalist/archive/2012-03/msg01264.html
Best,
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 20.04.2012 10:18, Hoang Dinh Quoc wrote:
> Thanks. Below is what I got by ivreg2 y (x = z), endog(x). You talked
about
> the p-value 0.0600, right? Does this mean that we can conclude no
> endogeneity problem?
>
> Best,
> Quoc
>
>
>
> Underidentification test (Anderson canon. corr. LM statistic):
> 49.520
> Chi-sq(1) P-val =
0.0000
>
----------------------------------------------------------------------------
> --
> Weak identification test (Cragg-Donald Wald F statistic):
53.345
> Stock-Yogo weak ID test critical values: 10% maximal IV size
16.38
> 15% maximal IV size
8.96
> 20% maximal IV size
6.66
> 25% maximal IV size
5.53
> Source: Stock-Yogo (2005). Reproduced by permission.
>
----------------------------------------------------------------------------
> Sargan statistic (overidentification test of all instruments):
0.000
> (equation exactly
> dentified)
> -endog- option:
> Endogeneity test of endogenous regressors:
3.538
> Chi-sq(1) P-val =
0.0600
> Regressors tested: sc_tie_weak
>
----------------------------------------------------------------------------
> --
> Instrumented: sc_tie_weak
> Included instruments: sc_tie_strong sex income_cat_07 alter_SIOPs
head_siops
> market_close ethnic headage leader hhknown
access_cre
> Cre_Con mass_media Road_constraint red_gre
> no_extension_contact _Idistrict_2 _Idistrict_3
> _Idistrict_4 _Idistrict_5 _Idistrict_6 _Idistrict_7
> Excluded instruments: loan_bank_job
>
>
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of John Antonakis
> Sent: Friday, April 20, 2012 3:03 PM
> To: [email protected]
> Subject: Re: st: St: interpret the result of Hausman test
>
> No. I meant -endog- and not -orthog-.
>
> Do you have the latest version of ivreg2?
>
> . which ivreg2
> c:\ado\plus\i\ivreg2.ado
> *! ivreg2 3.1.04 19mar2012
> *! authors cfb& mes
> *! see end of file for version comments
>
> If not, updated your ivreg2 file:
>
> ssc install ivreg2, replace
>
> Then redo the iv-regression and see what you get.
>
> Best,
> 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 20.04.2012 09:50, Hoang Dinh Quoc wrote:
>> Dear Prof. Antonakis,
>>
>> Thank you very much for your suggestion.
>>
>>
>>
>> For your suggestion:
>>
>> hausman one two, sigmamore
>> What does that give?
>>
>> The result is below; I guess something went wrong with this result,
right?
>>
>>
>>
>> b = consistent under Ho and Ha; obtained from regress
>>
>> B = inconsistent under Ha, efficient under Ho; obtained from
>> ivregress
>>
>>
>>
>> Test: Ho: difference in coefficients not systematic
>>
>>
>>
>> chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>>
>> = -3.33 chi2<0 ==> model fitted on
these
>>
>> data fails to meet the
asymptotic
>>
>> assumptions of the Hausman
test;
>>
>> see suest for a generalized
test
>>
>>
>> Your comment: "ivreg2 y (x = z), endog(x)". I guess you meant option
>> 'orthog' right? Because endog did not work on my Stata; I am using Stata
> 10.
>>
>> Below is the result; according to this result, as the P-value (0.0600) is
>> bigger than 0.5, I guess I can conclude x is not endogenous, right?
>>
>>
>
----------------------------------------------------------------------------
>> --
>> Sargan statistic (Lagrange multiplier test of excluded instruments):
>> 3.538
>> Chi-sq(1) P-val =
>> 0.0600
>> -orthog- option:
>> Sargan statistic (eqn. excluding suspect orthogonality conditions):
>> 0.000
>> Chi-sq(0) P-val =
>> .
>> C statistic (exogeneity/orthogonality of suspect instruments):
>> 3.538
>> Chi-sq(1) P-val =
>> 0.0600
>>
>>
>>
>>
>>
>> Best,
>>
>> Quoc
>>
>>
>>
>>
>>
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of John Antonakis
>> Sent: Thursday, April 19, 2012 8:42 PM
>> To: [email protected]
>> Subject: Re: st: St: interpret the result of Hausman test
>>
>>
>>
>> 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: [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
>>> >
>>> >
>>> >
>>> >
>>> > *
>>> > * For searches and help try:
>>> > * http://www.stata.com/help.cgi?search
>>> > * http://www.stata.com/support/statalist/faq
>>> > * http://www.ats.ucla.edu/stat/stata/
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/statalist/faq
>>> * http://www.ats.ucla.edu/stat/stata/
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/statalist/faq
>>> * http://www.ats.ucla.edu/stat/stata/
>> *
>>
>> * For searches and help try:
>>
>> * http://www.stata.com/help.cgi?search
>>
>> * http://www.stata.com/support/statalist/faq
>>
>> * http://www.ats.ucla.edu/stat/stata/
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of John Antonakis
>> Sent: Thursday, April 19, 2012 8:42 PM
>> To: [email protected]
>> Subject: Re: st: St: interpret the result of Hausman test
>>
>> 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: [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
>>> >
>>> >
>>> >
>>> >
>>> > *
>>> > * For searches and help try:
>>> > * http://www.stata.com/help.cgi?search
>>> > * http://www.stata.com/support/statalist/faq
>>> > * http://www.ats.ucla.edu/stat/stata/
>>>
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/statalist/faq
>>> * http://www.ats.ucla.edu/stat/stata/
>>>
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/statalist/faq
>>> * http://www.ats.ucla.edu/stat/stata/
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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*
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