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


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: St: interpret the result of Hausman test
Date   Thu, 19 Apr 2012 11:56:48 +0200

On Thu, Apr 19, 2012 at 11:31 AM, Hoang Dinh Quoc wrote:
> I have read about it and it is not clear to me about the interpretation of
> the result. It suggests to compare the coefficients of OLS and 2SLS and
> suggests the large difference means to reject the null (not problem with
> endogeneity); but it does not say how large to reject; for example I am not
> sure with the value chi2(1)= 3.31 and Prob>chi2 =0.0687 I can conclude to
> reject or not?

This is just like any other statistical test: if the p-value is less
than the critical value of your choice than you reject otherwise you
don't. A common critical value is 5% (i.e. 0.05), so in that case you
would not reject the null-hypothesis. Remember that this does not mean
that the null-hypothesis is true or that it is supported by your data;
it only means that there is insufficient evidence to reject it. An
absence of evidence is not the same thing as evidence of absence.
Moreover, the common choice of 5% is nothing more than an arbitrary
historical accident: you could choose 7% and than you can reject the
null-hypothesis. Finally, remember that the p-value is itself an
estimate and thus uncertain. So a value close to the critical value is
best classified as indeterminate rather than reject or accept, though
this is not commonly done.

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------
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