Hausman test in R
Hello. Well said Joshua. May I add that in an "OLS" context (which i take as also meaning: no panel structure) what you probably want to do is the so-called Durbin-Wu-Hausman test for endogeneity, as explained e.g. here: http://kurt.schmidheiny.name/teaching/iv2up.pdf see Section 11 for the idea, and 13 for the R implementation. Best wishes, Giovanni ---------- original message -------------------- Date: Sun, 28 Oct 2012 16:03:43 -0700 From: Joshua Wiley <jwiley.psych at gmail.com> To: fxen3k <f.sehardt at gmail.com> Cc: r-help at r-project.org Subject: Re: [R] Hausman test in R Message-ID: <CANz9Z_+2k3QWazrAZqZ09NSFaj_431A2YLRPgswvNbo6PONMAQ at mail.gmail.com> Content-Type: text/plain Hi, I can think of no reason a Hausman test could not be used for OLS---it is a comparison of vectors of coefficients from different models usually assumed to produce similar estimates under certain conditions. Dissimilarity is taken as indicative of a lack of some or all the conditions required for the two models to yield similar parameters. I suggest you look at the plm and systemfit packages. They have many functions for OLS, 2SLS, tests of endogeneity, etc. The plm (and maybe systemfit?) package also has a vignette which is a good thing to read. It has a lot of useful information on the code and examples of comparing different types of models, that you may find instructive. Hope this helps, Josh
On Sun, Oct 28, 2012 at 1:33 PM, fxen3k <f.sehardt at gmail.com> wrote:
Hi there, I am really new to statistics in R and statistics itself as well. My situation: I ran a lot of OLS regressions with different
independent
variables. (using the lm() function). After having done that, I know there is endogeneity due to omitted variables. (or perhaps due to any other reasons). And here comes the Hausman test. I know this test is used to identify endogeneity. But what I am not sure about is: "Can I use the Hausman test in a
simple
OLS regression or is it only possible in a 2SLS regression model?" "And if
it
is possible to use it, how can I do it?" Info about the data: data = lots of data :) x1 <- data$x1 x2 <- data$x2 x3 <- data$x3 x4 <- data$x4 y1 <- data$y1 reg1 <- summary(lm(y1 ~ x1 + x2 + x3 + x4)) Thanks in advance for any support! -- View this message in context: http://r.789695.n4.nabble.com/Hausman-test-in-R-tp4647716.html Sent from the R help mailing list archive at Nabble.com.
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Joshua Wiley Ph.D. Student, Health Psychology Programmer Analyst II, Statistical Consulting Group University of California, Los Angeles https://joshuawiley.com/ ----------- end original message ------------- ? Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}