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. ______________________________________________ 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.
