[R] Hausman Test

[Holger Steinmetz]

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

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