Re: [R] Hausman test in R

2012-10-29 Thread fxen3k
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 wi

Re: [R] Hausman test in R

2012-10-29 Thread John C Frain
On 29 October 2012 16:56, fxen3k 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

Re: [R] Hausman test in R

2012-10-29 Thread fxen3k
Given my "acknowledged statistical ignorance", I tried to find a *solution *in this forum... And this is not primarily a statistical issue, it is an issue about the Hausman test in the R environment. I cannot imagine, no one in this forum has ever done a Hausman test on OLS regressions. I read in

Re: [R] Hausman test in R

2012-10-29 Thread Millo Giovanni
r 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 To: fxen3k Cc: r-help@r-project.org Subject: Re: [R] Hausman test in R Message-ID: Content-Type: text/plain

Re: [R] Hausman test in R

2012-10-28 Thread Joshua Wiley
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

Re: [R] Hausman test in R

2012-10-28 Thread Bert Gunter
1. These are primarily statistics issues, not R issues. You should post on a statistical help list like stats.stackexchange.com, not here. 2. However, given your acknowledged statistical ignorance, you may be asking for trouble. I suggest you seek help from a local statistical expert to get you st

[R] Hausman test in R

2012-10-28 Thread fxen3k
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 reaso