On 29 October 2012 16:56, fxen3k <f.seha...@gmail.com> wrote: snip
If we are talking about the same test a Hausman test can not be applied to OLS regressions. As you have already been told you must have two estimates of the same set of coefficients to do a Hausman test. Suppose that you do OLS and an IV estimates of a particular regression you will get twu estimates of the coefficients in the model. If the disturbances are not correlated with the explanatory variables (no endogeneity) the two sets of coefficients will no be similar. If there is endogeneity the coefficients will be different. The Hausman test is a test of the null that the coefficients are not different. If the null is accepted you will probably accept the OLS regression. If the null is rejected you may consider the IV estimate. A Hausman test is applicable in many other situations (fixed v random effects etc.) You may have problems with the estimate of the covariance matrix used in the test as on occasion as, due to numerical problems, the estimates of that matrix are not always positive definite. Most intermediate level econometrics textbooks will have a good account of the Hausman test. Green(2012), Econometric Analysis 7th edition, Prentice Hall. contains a comprehensive discussion of these matters which you might read. It is not easy but if you master the basic concepts there, your questions about their implementation in R are likely to be answered on this forum. Best Regards John > I cannot imagine, no one in this forum has ever done a Hausman test on OLS > regressions. > I read in the systemfit package and found only this example referring to > 2SLS and 3SLS regressions: > > data( "Kmenta" ) > eqDemand <- consump ~ price + income > eqSupply <- consump ~ price + farmPrice + trend > inst <- ~ income + farmPrice + trend > system <- list( demand = eqDemand, supply = eqSupply ) > ## perform the estimations > fit2sls <- systemfit( system, "2SLS", inst = inst, data = Kmenta ) > fit3sls <- systemfit( system, "3SLS", inst = inst, data = Kmenta ) > ## perform the Hausman test > h <- hausman.systemfit( fit2sls, fit3sls ) > print( h ) > > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/Hausman-test-in-R-tp4647716p4647774.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. -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:fra...@tcd.ie mailto:fra...@gmail.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.
