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st: RE: How to perform Hausman Endogenity Test?


From   "Ronnie Babigumira" <ronnie.babigumira@ios.nlh.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: How to perform Hausman Endogenity Test?
Date   Sat, 7 Dec 2002 18:19:26 +0100

Just off my head, here is a simple example, two equations

Qt = a0 + a1Pt + a2Xt+ u1t 		(demand) and
Qt = b0 + b1Pt + u2t			(supply)

You want to test if Pt is endogenous say
Step1: write the reduced form equation for Pt (should have x which is
assumed exogenous)
Step2, regress p on x predict vhat and phat (error and yhat)
Step3, regress q on phat and vhat, test vhat = 0

This is the Hausman test as described in Gujarati

Ronnie

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Lee Chuntao
Sent: 7. desember 2002 05:27
To: statalist@hsphsun2.harvard.edu
Subject: st: How to perform Hausman Endogenity Test?


Hi, Listers, can you tell me how to perform Hausman Endogenity Test?

thanks in advance


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