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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 16:37:26 +0700 |

Thank you very much for your explanation, Prof. Yes, it seems to be quite different between iv and ols; for the variable x (suspect var for endogenous), the model ols shows the coefficient is .03589 and the p-value 0.615; but the ivreg2 shows coefficient .3302337 and p value 0.020. Did you mean that I would better take the ovreg2 for the final result? Best, Quoc -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: Friday, April 20, 2012 3:53 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: St: interpret the result of Hausman test 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: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis > Sent: Friday, April 20, 2012 3:03 PM > To: statalist@hsphsun2.harvard.edu > 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: 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/ >> * >> >> * 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: 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/ >> * >> * 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/

**Follow-Ups**:**Re: st: St: interpret the result of Hausman test***From:*John Antonakis <John.Antonakis@unil.ch>

**References**:**Re: st: St: interpret the result of Hausman test***From:*John Antonakis <John.Antonakis@unil.ch>

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