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

From   Maarten Buis <>
Subject   Re: st: St: interpret the result of Hausman test
Date   Thu, 19 Apr 2012 11:56:48 +0200

On Thu, Apr 19, 2012 at 11:31 AM, Hoang Dinh Quoc wrote:
> I have read about it and it is not clear to me about the interpretation of
> the result. It suggests to compare the coefficients of OLS and 2SLS and
> suggests the large difference means to reject the null (not problem with
> endogeneity); but it does not say how large to reject; for example I am not
> sure with the value chi2(1)= 3.31 and Prob>chi2 =0.0687 I can conclude to
> reject or not?

This is just like any other statistical test: if the p-value is less
than the critical value of your choice than you reject otherwise you
don't. A common critical value is 5% (i.e. 0.05), so in that case you
would not reject the null-hypothesis. Remember that this does not mean
that the null-hypothesis is true or that it is supported by your data;
it only means that there is insufficient evidence to reject it. An
absence of evidence is not the same thing as evidence of absence.
Moreover, the common choice of 5% is nothing more than an arbitrary
historical accident: you could choose 7% and than you can reject the
null-hypothesis. Finally, remember that the p-value is itself an
estimate and thus uncertain. So a value close to the critical value is
best classified as indeterminate rather than reject or accept, though
this is not commonly done.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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