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RE: st: St: interpret the result of Hausman test
From
"Hoang Dinh Quoc" <[email protected]>
To
<[email protected]>
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: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Thursday, April 19, 2012 8:42 PM
To: [email protected]
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: [email protected]
> [mailto:[email protected]] On Behalf Of John Antonakis
> Sent: Thursday, April 19, 2012 3:23 PM
> To: [email protected]
> 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: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Thursday, April 19, 2012 8:42 PM
To: [email protected]
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: [email protected]
> [mailto:[email protected]] On Behalf Of John Antonakis
> Sent: Thursday, April 19, 2012 3:23 PM
> To: [email protected]
> 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/