Re: [R] Hausman test for endogeneity
... and, in fact, simply googling on R Package Hausmann finds two
Hausmann test functions in 2 different packages within the first half
dozen hits.
-- Bert
On Sat, Oct 9, 2010 at 11:06 AM, Liviu Andronic landronim...@gmail.com wrote:
Hello
On Sat, Oct 9, 2010 at 2:37 PM, Holger Steinmetz
holger.steinm...@web.de wrote:
can anybody point me in the right direction on how to conduct a hausman test
for endogeneity in simultanous equation models?
Try
install.packages('sos')
require(sos)
findFn('hausman')
Here I get these results:
findFn('hausman')
found 22 matches; retrieving 2 pages
2
Liviu
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--
Bert Gunter
Genentech Nonclinical Biostatistics
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Re: [R] Hausman test for endogeneity
Dear Liviu, thank you very much. After inspecting the options, I *guess* that systemfit is what I need. However, I absolutely don't understand how it works. I searched long for a detailed documentation (beyond the rather cryptic standard documentation) but found none. Has anybody references/advises how to conduct the test? Best, Holger -- View this message in context: http://r.789695.n4.nabble.com/Hausman-test-for-endogeneity-tp2969522p2970261.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.
Re: [R] Hausman test for endogeneity
Hi Holger On 10 October 2010 15:36, Holger Steinmetz holger.steinm...@web.de wrote: After inspecting the options, I *guess* that systemfit is what I need. However, I absolutely don't understand how it works. I searched long for a detailed documentation (beyond the rather cryptic standard documentation) but found none. Has anybody references/advises how to conduct the test? A paper describing the systemfit package has been published in the journal of statistical software: http://www.jstatsoft.org/v23/i04/paper It describes the Hausman test for testing the consistency of the 3SLS estimates against the 2SLS estimates (see sections 2.8 and 4.6). I guess (but I am not sure -- maybe others can comment on this) that you test for the endogeneity of regressors, e.g., by fitSur - systemfit( myFormula, data = myData, method = SUR ) fit3sls - systemfit( myFormula, data = myData, method = 3SLS, inst = myInst ) hausman.systemfit( fit3sls, fitSur ) If some regressors are endogenous, the SUR estimates are inconsistent but the 3SLS estimates are consistent given that the instrumental variables are exogenous. However, if all regressors are exogenous, both estimates should be consistent but the SUR estimates should be more efficient. Best wishes, Arne -- Arne Henningsen http://www.arne-henningsen.name __ 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.
Re: [R] Hausman test for endogeneity
Dear Arne, this looks promising! Thank you very much. Best, Holger -- View this message in context: http://r.789695.n4.nabble.com/Hausman-test-for-endogeneity-tp2969522p2970564.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.
[R] Hausman test for endogeneity
Dear folks, can anybody point me in the right direction on how to conduct a hausman test for endogeneity in simultanous equation models? Best, Holger -- View this message in context: http://r.789695.n4.nabble.com/Hausman-test-for-endogeneity-tp2969522p2969522.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.
Re: [R] Hausman test for endogeneity
On Saturday 09 October 2010 14:37:35 Holger Steinmetz wrote: Dear folks, can anybody point me in the right direction on how to conduct a hausman test for endogeneity in simultanous equation models? Best, Holger hausman.systemfit [1] should be what you are looking for. Cheers Giuseppe [1] http://cran.r-project.org/web/packages/systemfit/systemfit.pdf __ 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.
Re: [R] Hausman test for endogeneity
Hello
On Sat, Oct 9, 2010 at 2:37 PM, Holger Steinmetz
holger.steinm...@web.de wrote:
can anybody point me in the right direction on how to conduct a hausman test
for endogeneity in simultanous equation models?
Try
install.packages('sos')
require(sos)
findFn('hausman')
Here I get these results:
findFn('hausman')
found 22 matches; retrieving 2 pages
2
Liviu
__
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.
