[R] Hausman test in R

[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 with Z
= instrumental variable for X, X = potentially endogenous variable and Rest
= more independent variables]
Regression 1:
X ~ Z + Rest + error term
Regression 2:
Y ~ X + Rest + residuals(Reg1) + error [# I took the residuals from
Regression 1 by Reg1_resid <- cbind(Red1$resid)

Finally, if the coefficient for the residuals is statistically significant,
there is endogeneity. 

Is this approach correct?

p.s: My p-value is 0.1138...

Thanks for your help





--
View this message in context: http://r.789695.n4.nabble.com/Hausman-test-in-R-tp4647716p4647800.html
Sent from the R help mailing list archive at Nabble.com.