[R] Hausman test for endogeneity

[Arne Henningsen]

Hi Holger

On 10 October 2010 15:36, Holger Steinmetz <Holger.steinmetz at web.de> 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