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RE: st: St: interpret the result of Hausman test


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/
>>> *
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>> *
>>
>> *   For searches and help try:
>>
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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
>> 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
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>>>
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