Hi, can anybody tell me how the Hausman test for endogenty works?
I have a simulated model with three correlated predictors (X1-X3). I also have an instrument W for X1 Now I want to test for endogeneity of X1 (i.e., when I omit X2 and X3 from the equation). My current approach: library(systemfit) fit2sls <- systemfit(Y~X1,data=data,method="2SLS",inst=~W) fitOLS <- systemfit(Y~X1,data=data,method="OLS") print(hausman.systemfit(fitOLS, fit2sls)) This seems to work fine. However, when I include X2 as a furter predictor, the 2sls-estimation doesn't work. Thanks in advance Holger -- View this message in context: http://r.789695.n4.nabble.com/Hausman-Test-tp3220016p3220016.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@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.
