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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 15:18:44 +0700

Thanks. Below is what I got by ivreg2 y (x = z), endog(x). You talked about
the p-value 0.0600, right? Does this mean that we can conclude no
endogeneity problem?

Best,
Quoc



Underidentification test (Anderson canon. corr. LM statistic):
49.520
                                                   Chi-sq(1) P-val =  0.0000
----------------------------------------------------------------------------
--
Weak identification test (Cragg-Donald Wald F statistic):             53.345
Stock-Yogo weak ID test critical values: 10% maximal IV size           16.38
                                         15% maximal IV size            8.96
                                         20% maximal IV size            6.66
                                         25% maximal IV size            5.53
Source: Stock-Yogo (2005).  Reproduced by permission.
----------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):         0.000
                                                 (equation exactly
dentified)
-endog- option:
Endogeneity test of endogenous regressors:                             3.538
                                                   Chi-sq(1) P-val =  0.0600
Regressors tested:    sc_tie_weak
----------------------------------------------------------------------------
--
Instrumented:         sc_tie_weak
Included instruments: sc_tie_strong sex income_cat_07 alter_SIOPs head_siops
                      market_close ethnic headage leader hhknown access_cre
                      Cre_Con mass_media Road_constraint red_gre
                      no_extension_contact _Idistrict_2 _Idistrict_3
                      _Idistrict_4 _Idistrict_5 _Idistrict_6 _Idistrict_7
Excluded instruments: loan_bank_job




-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Friday, April 20, 2012 3:03 PM
To: [email protected]
Subject: Re: st: St: interpret the result of Hausman test

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

Do you have the latest version of ivreg2?

. which ivreg2
c:\ado\plus\i\ivreg2.ado
*! 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
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 20.04.2012 09:50, Hoang Dinh Quoc wrote:
> 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
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>> *   http://www.ats.ucla.edu/stat/stata/
> *
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