09-01-2015
DaveatPitt
Calcite | Level 5
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02-08-2015
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Latest posts by DaveatPitt
Subject Views Posted 7517 02-11-2015 04:56 PM 7517 02-10-2015 05:38 PM 7517 02-09-2015 03:52 PM 7864 02-08-2015 11:25 AM -
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- Got a Like for Re: Running Hausman test to compare 2SLS and OLS models. 09-01-2015 04:24 AM
- Posted Re: Running Hausman test to compare 2SLS and OLS models on Statistical Procedures. 02-11-2015 04:56 PM
- Posted Re: Running Hausman test to compare 2SLS and OLS models on Statistical Procedures. 02-10-2015 05:38 PM
- Posted Re: Running Hausman test to compare 2SLS and OLS models on Statistical Procedures. 02-09-2015 03:52 PM
- Posted Running Hausman test to compare 2SLS and OLS models on Statistical Procedures. 02-08-2015 11:25 AM
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Subject Likes Posted 3 02-09-2015 03:52 PM
02-11-2015
04:56 PM
Thanks all - got the models to work.
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02-10-2015
05:38 PM
Hi Marc, Thanks for the help. Sorry to be a bit slow - I'm not that familiar with 2SLS. Here's what I ran in 2SLS and am now trying to run the Hausman test in PROC model. Even with the guidance on the chain, I still can't get it to work: Proc SYSLIN data= one 2SLS FIRST; Endogenous m ; Instruments x z x*z; Model y= m x*z/ OVERID DW PLOT; Run; thanks, Dave
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02-09-2015
03:52 PM
3 Likes
Hi Gergely, Thanks for pointing me to the sample data, which is helpful. One other question - how does one modify the syntax for a third variable? For example, what if there were two instrumental variables PLUS their interaction in the model. How would the two lines of the syntax be changed? Does 'interc' capture that? Another way to ask this might be, what if there were 3 instruments, not 2? Using the varnames from the syntax above, the model I'm trying to run is: y1 = y2 + x1 +z1 +x1*z1. is there a way to modify the syntax to accomplish that? thanks, Dave
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02-08-2015
11:25 AM
Hello, I'm analyzing some data and need to test whether a 2SLS or OLS model is most appropriate. I understand that I need to run the Hausman specification test and the syntax provided in the SAS documentation looks straightforward but I'm not sure how to execute the code. The data contain a dependent variable Y, a mediator M, and two instruments X and Z, and their interaction. the model I'm testing is Y = M + X + Z + X*Z. The code provided in the SAS help guide under 'Hausman specification test' is provided below. My question is what needs to be inputted. What do y1 and y2 represent below? Does p represent predicted values? I assume interc refers to an interaction term? And what is d2? proc model data=one out=fiml2; endogenous y1 y2; y1 = py2 * y2 + px1 * x1 + interc; y2 = py1* y1 + pz1 * z1 + d2; fit y1 y2 / ols 2sls hausman; instruments x1 z1; run; Any help and even an example would be much appreciated. Thanks!
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