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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 23 Apr 2012 10:50:45 +0200 |

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 23.04.2012 04:37, Hoang Dinh Quoc wrote:

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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: Friday, April 20, 2012 5:21 PM To: statalist@hsphsun2.harvard.edu 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.03589and the p-value 0.615; but the ivreg2 shows coefficient .3302337 and pvalue0.020. 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 talkedaboutthe 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):53.345Stock-Yogo weak ID test critical values: 10% maximal IV size16.3815% maximal IV size8.9620% maximal IV size6.6625% maximal IV size5.53Source: 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:3.538Chi-sq(1) P-val =0.0600Regressors tested: sc_tie_weak------------------------------------------------------------------------------ Instrumented: sc_tie_weak Included instruments: sc_tie_strong sex income_cat_07 alter_SIOPshead_siopsmarket_close ethnic headage leader hhknownaccess_creCre_Con mass_media Road_constraint red_gre no_extension_contact _Idistrict_2 _Idistrict_3 _Idistrict_4 _Idistrict_5 _Idistrict_6_Idistrict_7Excluded 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 onthesedata fails to meet theasymptoticassumptions of the Hausmantest;see suest for a generalizedtestYour 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 Stata10.Below is the result; according to this result, as the P-value (0.0600)isbigger 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 JohnAntonakisSent: 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 goodreasonto believe that x is endogenous then the iv estimator should beretained.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 JohnAntonakisSent: 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 aHausmantest. > > My question is, with this result, if I conclude that I havenoproblem 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 JohnAntonakisSent: 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 goodreasonto believe that x is endogenous then the iv estimator should beretained.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 JohnAntonakisSent: 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 aHausmantest. > > My question is, with this result, if I conclude that I havenoproblem 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/

* * 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:*"Hoang Dinh Quoc" <hoangdquoc@gmail.com>

**References**:**RE: st: St: interpret the result of Hausman test***From:*"Hoang Dinh Quoc" <hoangdquoc@gmail.com>

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