[R] Hausman test in R
fxen3k
f.sehardt at gmail.com
Tue Oct 30 00:11:59 CET 2012
Thanks for your answer, John!
Having read in Wooldridge, Verbeek and Hausman himself, I tried to figure
out how this whole Hausman test works.
I tried to figure out, if endogeneity exists in my particular case. So I did
this
Y ~ X + Z + Rest + error term [# this is the the original regression with Z
= instrumental variable for X, X = potentially endogenous variable and Rest
= more independent variables]
Regression 1:
X ~ Z + Rest + error term
Regression 2:
Y ~ X + Rest + residuals(Reg1) + error [# I took the residuals from
Regression 1 by Reg1_resid <- cbind(Red1$resid)
Finally, if the coefficient for the residuals is statistically significant,
there is endogeneity.
Is this approach correct?
p.s: My p-value is 0.1138...
Thanks for your help
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