[R] Hausman test in R

[Millo Giovanni]

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.
>
> ______________________________________________
> R-help at r-project.org 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.
>



-- 
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}}