Send Gretl-users mailing list submissions to
gretl-users@lists.wfu.edu
To subscribe or unsubscribe via the World Wide Web, visit
http://lists.wfu.edu/mailman/listinfo/gretl-users
or, via email, send a message with subject or body 'help' to
gretl-users-request@lists.wfu.edu
You can reach the person managing the list at
gretl-users-owner@lists.wfu.edu
When replying, please edit your Subject line so it is more specific
than "Re: Contents of Gretl-users digest..."
Today's Topics:
1. Instrumental variables and Hausman test (Javier Garc?a)
----------------------------------------------------------------------
Message: 1
Date: Wed, 13 Apr 2016 02:28:36 +0200
From: Javier Garc?a <javier.garcia@ehu.eus>
To: <gretl-users@lists.wfu.edu>
Subject: [Gretl-users] Instrumental variables and Hausman test
Message-ID:
<570d92ba.e567c20a.767b.fffffbe5SMTPIN_ADDED_BROKEN@mx.google.com>
Content-Type: text/plain; charset="utf-8"
Hello everybody,
I am trying to perform the Hausman test within a instrumental variables context. Using the smoke.gdt data from the Wooldridge's book, I regress the variable called lincome on a constant, cigs, educ, age and agesq. In order to do this I apply "instrumental variables->2sls", providing one instrument (in particular the variable called restaurn) for cigs, a variable that we suspect that could be correlated with the perturbation. As it can be seen below, the asymptotic test statistic is 5.00976. However, if I do it manually (or using another program like Stata), that value is totally different, getting 2.76 aproximately (the square of the estimates differences, (0.00173057-(-0.0413845))^2, over the variances differences, 0.0260279^2-0.00171372^2). What am I doing wrong? It could be a Gretl bug?
Thanks a lot in advance.
Javi
Model 1: OLS, using observations 1-807
Dependent variable: lincome
coefficient std. error t-ratio p-value
-----------------------------------------------------------
const 7.79544 0.170427 45.74 1.05e-225 ***
cigs 0.00173057 0.00171372 1.010 0.3129
educ 0.0603605 0.00789834 7.642 6.10e-014 ***
age 0.0576907 0.00764359 7.548 1.21e-013 ***
agesq ?0.000630589 8.33822e-05 ?7.563 1.08e-013 ***
Mean dependent var 9.687315 S.D. dependent var 0.712695
Sum squared resid 341.8539 S.E. of regression 0.652880
R-squared 0.164978 Adjusted R-squared 0.160813
F(4, 802) 39.61341 P-value(F) 2.68e-30
Log-likelihood ?798.5010 Akaike criterion 1607.002
Schwarz criterion 1630.469 Hannan-Quinn 1616.013
Model 2: TSLS, using observations 1-807
Dependent variable: lincome
Instrumented: cigs
Instruments: const restaurn educ age agesq
coefficient std. error z p-value
---------------------------------------------------------
const 7.78114 0.228129 34.11 5.52e-255 ***
cigs ?0.0413845 0.0260279 ?1.590 0.1118
educ 0.0400241 0.0161607 2.477 0.0133 **
age 0.0932076 0.0236787 3.936 8.27e-05 ***
agesq ?0.00104373 0.000272324 ?3.833 0.0001 ***
Mean dependent var 9.687315 S.D. dependent var 0.712695
Sum squared resid 611.6565 S.E. of regression 0.873306
R-squared 0.024886 Adjusted R-squared 0.020022
F(4, 802) 22.62942 P-value(F) 9.92e-18
Log-likelihood ?7885.899 Akaike criterion 15781.80
Schwarz criterion 15805.26 Hannan-Quinn 15790.81
Log-likelihood for income = ?8614.4
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(1) = 5.00976
with p-value = 0.0252048
JAVIER GARC?A
Departamento de Econom?a Aplicada III (Econometr?a y Estad?stica)
Facultad de Econom?a y Empresa (Secci?n Sarriko)
Avda. Lehendakari Aguirre 83
48015 BILBAO
T.: +34 601 7126 F.: +34 601 3754
<http://www.ehu.es/> www.ehu.es
http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/informacion/manual_id_corp/es_manual/images/firma_email_upv_euskampus_bilingue.gif
ERNE! Baliteke mezu honen zatiren bat edo mezu osoa legez babestuta egotea. Mezuak badu bere hartzailea. Okerreko helbidera heldu bada (helbidea gaizki idatzi, transmisioak huts egin) eman abisu igorleari, korreo honi erantzunda. Kontuz! Mezua ez bada zuretzat, ez erabili, ez zabaldu beste inori, ez kopiatu eta ez baliatu.
?ATENCI?N! Este mensaje contiene informaci?n privilegiada o confidencial a la que s?lo tiene derecho a acceder el destinatario. Si usted lo recibe por error le agradecer?amos que no hiciera uso de la informaci?n y que se pusiese en contacto con el remitente.
http://www.unibertsitate-hedakuntza.ehu.es/p077-9030/es/contenidos/informacion/manual_id_corp/es_manual/images/recicla_firma_email_upv.gif
E-mail hau inprimatu baino lehen egiaztatu inprimatzeko beharra.
Antes de imprimir este e-mail piense bien si es necesario hacerlo.
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/attachment.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image001.gif
Type: image/gif
Size: 6359 bytes
Desc: not available
URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/attachment.gif>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image002.gif
Type: image/gif
Size: 225 bytes
Desc: not available
URL: <http://lists.wfu.edu/pipermail/gretl-users/attachments/20160413/dafb1fa0/attachment-0001.gif>
------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
End of Gretl-users Digest, Vol 111, Issue 13
********************************************