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


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: St: interpret the result of Hausman test
Date   Sun, 22 Apr 2012 22:43:02 +0200

Right. I am so used to seeing significant OLS coefficients and less significant IV coefficients. Come to think of it, we have a working paper with a non significant (and negative signed) OLS coefficient and a significant and positively signed treatment effect (à la Heckman) coefficient. I don't see signs flips often in practice or significant IV and non-significant OLS coefficients, which is why I questioned as to whether he had the same controls in both the IV and OLS model (and to demonstrate the point, I usually used sign-flipped coefficients in simulations to show up the iv estimator).

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
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http://www.hec.unil.ch/people/jantonakis

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The Leadership Quarterly
__________________________________________


On 20.04.2012 17:13, Austin Nichols wrote:
John Antonakis<John.Antonakis@unil.ch>:
Not odd at all given the magnitudes of coefs.

Note that a purported test of endogeneity or exogeneity is a test that
IV and OLS coefs differ statistically, and relies crucially on the
usual IV assumptions; if your exclusion restriction is no good,
then neither is a test of endogeneity or exogeneity.

On Fri, Apr 20, 2012 at 6:21 AM, John Antonakis<John.Antonakis@unil.ch>  wrote:
Odd that your OLS estimates is not significant and the iv estimate is.
  Perhaps others can shed light on this.

Are you sure you are including the same control variables (exogenous) in
each model?

What, precisely, is the syntax for the reg and ivreg2 models?
On 20.04.2012 11:37, Hoang Dinh Quoc wrote:
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
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