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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   Mon, 23 Apr 2012 09:42:41 +0700

Nichols,

Given the fact that OLS estimates is not significant and the IV estimate is,
do you mean that the endogeneity test is not appropriate?

Thanks.

Best,
Quoc



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols
Sent: Friday, April 20, 2012 10:14 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: St: interpret the result of Hausman test

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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