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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to perform Hausman test on only one parameter
Date   Mon, 14 Nov 2005 13:53:54 -0000 (GMT)

Sue,

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()-
option.

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.

--Mark

> 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
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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