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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 |
Fri, 20 Apr 2012 10:03:05 +0200 |

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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: 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 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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: 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 a Hausman test. > > My question is, with this result, if I conclude that I have noproblem 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 John Antonakis Sent: 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 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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis Sent: 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 a Hausman test. > > My question is, with this result, if I conclude that I have noproblem 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/

**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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