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: [email protected]
[mailto:[email protected]]On Behalf Of Lee Chuntao
Sent: 7. desember 2002 05:27
To: [email protected]
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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