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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   Mon, 23 Apr 2012 09:37:04 +0700

Dear Prof.

Thank you for your help. 

Yes, I am sure that I am using the same control variables in the models. 

For reg: the syntax I used is:
.regress depvar indepvar1 indepvar2 indepvar3 indepvar4 endovar

For ivreg2:
.ivreg2 depvar indepvar1 indepvar2 indepvar3 indepvar4 (endovar = IV),
endog(endovar) 

With this result, I think I can conclude that I have endogeneity problem,
right? So what to do in order to solve this problem?


Best,
Quoc

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Friday, April 20, 2012 5:21 PM
To: [email protected]
Subject: Re: st: St: interpret the result of Hausman test

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?

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 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
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of John Antonakis
> Sent: Friday, April 20, 2012 3:53 PM
> To: [email protected]
> 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: [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
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>>>> *   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
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>>>> *   http://www.ats.ucla.edu/stat/stata/
>>>>
>>>> *
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>>> *
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>> *
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