Hello,
i am struggling with interpreting results from Durbin-Wu Hausman Test for Pooled OLS and fixed effect model. I proceeded after the explanations of https://www.stata.com/support/faqs/s...-hausman-test/
1. The results of both equation suggest no endogeneity, if i done it right?
2. Does this mean that for these two equation the 2SLS is not allowed and would lead to wrong or distorted results?
3. Could a change of instrument, for example only using historic beta or shares turnover generate essential different results?
4. Is it useful to do this check before applying 2SLS method or should i evaluate endogeneity only after 2SLS?
Below my procedure and the results of the test command are displayed
Pooled OlS
reg SumHoldingsPct SharesTurnover DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio i.year i.industry i.country, robust cluster(industry)
predict ResidualsSumHoldingsPct, res
reg TobinsQ SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust cluster(industry)
test ResidualsSumHoldingsPct
( 1) ResidualsSumHoldingsPct = 0
F( 1, 7) = 1.43
Prob > F = 0.2708
Fixed effect Model
xtreg SumHoldingsPct SharesOutstand HistoricBeta SharesTurnover DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio i.year i.industry i.country, robust fe
predict ResidualsSumHoldingsPct, res
xtreg TobinsQ SumHoldingsPct DebtTotalAssets RD Marketcap Dividend SalesGrowth QuickRatio ResidualsSumHoldingsPct i.year i.industry i.country, robust fe
test ResidualsSumHoldingsPct
( 1) ResidualsSumHoldingsPct = 0
F( 1, 706) = 0.22
Prob > F = 0.6391
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