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From |
"Hoang Dinh Quoc" <hoangdquoc@gmail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Fri, 20 Apr 2012 14:50:13 +0700 |

Dear Prof. Antonakis, Thank you very much for your suggestion. For your suggestion: hausman one two, sigmamore What does that give? The result is below; I guess something went wrong with this result, right? b = consistent under Ho and Ha; obtained from regress B = inconsistent under Ha, efficient under Ho; obtained from ivregress Test: Ho: difference in coefficients not systematic chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -3.33 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test Your comment: "ivreg2 y (x = z), endog(x)". I guess you meant option 'orthog' right? Because endog did not work on my Stata; I am using Stata 10. Below is the result; according to this result, as the P-value (0.0600) is bigger than 0.5, I guess I can conclude x is not endogenous, right? ---------------------------------------------------------------------------- -- Sargan statistic (Lagrange multiplier test of excluded instruments): 3.538 Chi-sq(1) P-val = 0.0600 -orthog- option: Sargan statistic (eqn. excluding suspect orthogonality conditions): 0.000 Chi-sq(0) P-val = . C statistic (exogeneity/orthogonality of suspect instruments): 3.538 Chi-sq(1) P-val = 0.0600 Best, 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 8:42 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: St: interpret the result of Hausman test 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 > > > > > > > > > > * > > * 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/ > > * > * 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/ > > * > * 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/ * * 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/ -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: Thursday, April 19, 2012 8:42 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: St: interpret the result of Hausman test 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 > > > > > > > > > > * > > * 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/ > > * > * 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/ > > * > * 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/ * * 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/ * * 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/

**Follow-Ups**:**Re: st: St: interpret the result of Hausman test***From:*John Antonakis <John.Antonakis@unil.ch>

**References**:**Re: st: St: interpret the result of Hausman test***From:*John Antonakis <John.Antonakis@unil.ch>

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