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

["Hoang Dinh Quoc" <hoangdquoc@gmail.com>]

Dear Prof. Antonakis,

Thank you very much for your quick support. 

I followed your suggestion: 
"reg y x
est store one
ivregress 2sls y (x=z)
est store two
hausman one two"

And I got this result: 

Test:  Ho:  difference in coefficients not systematic

                  chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =        3.31
                Prob>chi2 =      0.0687
                (V_b-V_B is not positive definite)

With is result, can I conclude that no endogeneity problem?

Thanks,
Best,
Hoang Dinh Quoc



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: Thursday, April 19, 2012 3:23 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: St: interpret the result of Hausman test

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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