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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 15:41:55 +0200

Do:

hausman one two, sigmamore

What does that give? If the hausman test is still NPD try:

ivreg2 y (x = z), endog(x)

Also, did you try it in sem as I suggested?

If the p value of the endogeneity test is < .05 then x is endogenous.

However, if your sample is small the test might not have much power (so I would be worried about endogeneity if < .10). If you have good reason to believe that x is endogenous then the iv estimator should be retained.

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 10:39, Hoang Dinh Quoc 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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