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


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/

> 

> *

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> *   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:

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> *   http://www.stata.com/support/statalist/faq

> *   http://www.ats.ucla.edu/stat/stata/

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-----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/
*
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*
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