#StackBounty: #r #stata #instrumental-variables #endogeneity #hausman What are the differences between tests for overidentification in …

Bounty: 50

I am using 2SLS for my research and I want to test for overidentification. I started out with the Hausman test of which I have a reasonable grasp.

The problem I have is that from the Hausman and the Sargan Test I am getting very different results.

The Sargan test is done by ivmodel from library(ivmodel). I copied the Hausman test from “Using R for Introductory Econometrics” page 226, by Florian Heiss.

[1] "############################################################"
[1] "***Hausman Test for Overidentification***"
[1] "############################################################"
[1] "***R2***"
[1] 0.0031
[1] "***Number of observations (nobs)***"
[1] 8937
[1] "***nobs*R2***"
[1] 28
[1] "***p-value***"
[1] 0.00000015


Sargan Test Result:

Sargan Test Statistics=0.31, df=1, p-value is 0.6

On top of this I am also using ivtobit from Stata, which provides a Wald test of exogeneity.

Lastly I read about a fourth which is the Hansen J statistic.

What is the difference between all of these tests?


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