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


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: St: interpret the result of Hausman test
Date   Thu, 19 Apr 2012 14:15:44 +0500

To clear all the problems,

Note the Null of Hausman's Test (read more details from -help hausman-
and any reference therein)
Check the p-value from the results of the test and
Decide whether to Accept or Reject the Null

Is this not like that?

Anees


On Thu, Apr 19, 2012 at 2:04 PM, Hoang Dinh Quoc <hoangdquoc@gmail.com> wrote:
> Thanks Anees,
>
> I am still not quite sure about your suggestion.
>
> The output of model OLS showed the suspected endogenous variable with
> coefficient (.03589) and p-value (0.615); and model ivregress 2sls showed
> the coefficient (.3302337) and p-value (0.025).
>
> My question is which model should I choose and do I have endogeneity
> problem?
>
> Thanks,
> Hoang Dinh Quoc
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Muhammad Anees
> Sent: Thursday, April 19, 2012 3:45 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: St: interpret the result of Hausman test
>
> Hi,
>
> You can now easily select the model depending on the difference
> between the estimated coefficient of (b) and (B) in the output, you
> skipped. The p-value is self explanatory and suggest you can
> accept/reject (check which one to go for) the null hypothesis of
> Hausaman's test.
>
> Hope this is good now,
> Anees
>
> On Thu, Apr 19, 2012 at 1:39 PM, Hoang Dinh Quoc <hoangdquoc@gmail.com>
> wrote:
>> 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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>
>
> --
>
> Best
> ---------------------------
> Muhammad Anees
> Assistant Professor/Programme Coordinator
> COMSATS Institute of Information Technology
> Attock 43600, Pakistan
> http://www.aneconomist.com
>
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

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