Hausman test for endogeneity

[Holger Steinmetz]

Dear folks,

can anybody point me in the right direction on how to conduct a hausman test for endogeneity in simultanous equation models?

Best,
Holger

[Giuseppe Marinelli]

On Saturday 09 October 2010 14:37:35 Holger Steinmetz wrote:
> Dear folks,
>
> can anybody point me in the right direction on how to conduct a hausman
> test for endogeneity in simultanous equation models?
>
> Best,
> Holger

hausman.systemfit [1] should be what you are looking for.
Cheers

Giuseppe

[1] http://cran.r-project.org/web/packages/systemfit/systemfit.pdf

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[Liviu Andronic]

Hello

On Sat, Oct 9, 2010 at 2:37 PM, Holger Steinmetz
<[hidden email]> wrote:
> can anybody point me in the right direction on how to conduct a hausman test
> for endogeneity in simultanous equation models?
>
Try
install.packages('sos')
require(sos)
findFn('hausman')

Here I get these results:
> findFn('hausman')
found 22 matches;  retrieving 2 pages
2

Liviu

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[Holger Steinmetz]

Dear Liviu,

thank you very much. After inspecting the options, I *guess* that systemfit is what I need.
However, I absolutely don't understand how it works. I searched long for a detailed documentation (beyond the rather cryptic standard documentation) but found none.

Has anybody references/advises how to conduct the test?

Best,
Holger

[Arne Henningsen-4]

Hi Holger

On 10 October 2010 15:36, Holger Steinmetz <[hidden email]> wrote:
> After inspecting the options, I *guess* that systemfit
> is what I need.
> However, I absolutely don't understand how it works. I searched long for a
> detailed documentation (beyond the rather cryptic standard documentation)
> but found none.
>
> Has anybody references/advises how to conduct the test?

A paper describing the systemfit package has been published in the
journal of statistical software:

http://www.jstatsoft.org/v23/i04/paper

It describes the Hausman test for testing the consistency of the 3SLS
estimates against the 2SLS estimates (see sections 2.8 and 4.6).

I guess (but I am not sure -- maybe others can comment on this) that
you test for the endogeneity of regressors, e.g., by

fitSur <- systemfit( myFormula, data = myData, method = "SUR" )

fit3sls <- systemfit( myFormula, data = myData, method = "3SLS", inst
= myInst )

hausman.systemfit( fit3sls, fitSur )

If some regressors are endogenous, the SUR estimates are inconsistent
but the 3SLS estimates are consistent given that the instrumental
variables are exogenous. However, if all regressors are exogenous,
both estimates should be consistent but the SUR estimates should be
more efficient.

Best wishes,
Arne

--
Arne Henningsen
http://www.arne-henningsen.name

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[Holger Steinmetz]

Dear Arne,

this looks promising! Thank you very much.

Best,
Holger

[Bert Gunter]

... and, in fact, simply googling on "R Package Hausmann" finds two
Hausmann test functions in 2 different packages within the first half
dozen hits.

-- Bert

On Sat, Oct 9, 2010 at 11:06 AM, Liviu Andronic <[hidden email]> wrote:

> Hello
>
> On Sat, Oct 9, 2010 at 2:37 PM, Holger Steinmetz
> <[hidden email]> wrote:
>> can anybody point me in the right direction on how to conduct a hausman test
>> for endogeneity in simultanous equation models?
>>
> Try
> install.packages('sos')
> require(sos)
> findFn('hausman')
>
> Here I get these results:
>> findFn('hausman')
> found 22 matches;  retrieving 2 pages
> 2
>
> Liviu
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

--
Bert Gunter
Genentech Nonclinical Biostatistics

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