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Re: st: St: interpret the result of Hausman test
From
John Antonakis <[email protected]>
To
[email protected]
Subject
Re: st: St: interpret the result of Hausman test
Date
Fri, 20 Apr 2012 10:53:22 +0200
According to the endog test, your regressor is probably endogenous
(given that you are close to the commonly-determined critical value of p
< .05) and thus requires instrumenting. Are the estimates of iv and ols
very different? If they are, and if your instruments are strong , which
they seem to be judging form the Anderson test and the Stock-Yogo
critical values, you may be better off trusting the inefficient iv
estimate, than the efficient (but probably inconsistent) OLS estimate.
See: http://www.stata.com/statalist/archive/2012-03/msg01264.html
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 10:18, Hoang Dinh Quoc wrote:
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
* 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:
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* 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/