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Re: st: How to perform Hausman test on only one parameter

From   "Mark Schaffer" <>
Subject   Re: st: How to perform Hausman test on only one parameter
Date   Mon, 14 Nov 2005 13:53:54 -0000 (GMT)


If you get the program -ivreg2- (just say -findit ivreg2- from within
Stata and follow the links to install, or -net install ivreg2.pkg- to
install immediately), you can do this in one line using the -orthog()-

In the -ivreg2- help file, see the text section on the C-test/orthog and
the examples at the bottom, esp. the example showing the equivalence of
the Durbin-Wu-Hausman (DWH) endogeneity test and the C-test, and the
example above it labelled "Test the exogeneity of 1 regressor".

Hope this helps.


> Dear Statalisters,
> I know this is a basic question but I'm new to stata and would really
> appreciate your help. I'm trying to find out the right
> command/procedure to do the Hausman test on only one specific variable
> in the model. And also, if it rejects, does it simply mean that the IV
> estimate is better than the OLS estimate?
> Thanks,
> Sue
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294



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