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# Re: st: St: interpret the result of Hausman test

 From John Antonakis To statalist@hsphsun2.harvard.edu Subject Re: st: St: interpret the result of Hausman test Date Fri, 20 Apr 2012 10:03:05 +0200

```No. I meant -endog- and not -orthog-.

. which ivreg2
*! ivreg2 3.1.04  19mar2012
*! authors cfb & mes
*! see end of file for version comments

If not, updated your ivreg2 file:

ssc install ivreg2, replace

Then redo the iv-regression and see what you get.

Best,
J.

__________________________________________

Prof. John Antonakis
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
__________________________________________

On 20.04.2012 09:50, Hoang Dinh Quoc wrote:
```
```Dear Prof. Antonakis,

Thank you very much 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

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

__________________________________________

On 19.04.2012 10:39, Hoang Dinh Quoc wrote:

```
```Dear Prof. Antonakis,
Thank you very much for your quick support.
"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
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
__________________________________________
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

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*   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
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
__________________________________________

On 19.04.2012 10:39, Hoang Dinh Quoc wrote:
```
```Dear Prof. Antonakis,

Thank you very much for your quick support.

"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
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
__________________________________________

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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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
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*   http://www.ats.ucla.edu/stat/stata/
```
```*
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
```