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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 -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: St: interpret the result of Hausman test***From:*Muhammad Anees <anees@aneconomist.com>

**RE: st: St: interpret the result of Hausman test***From:*"Hoang Dinh Quoc" <hoangdquoc@gmail.com>

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