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Re: st: St: interpret the result of Hausman test


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: St: interpret the result of Hausman test
Date   Thu, 19 Apr 2012 10:22:45 +0200

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
>
>
>
>
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