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Hi,

I need to perform Durbin-Wu-Hausman Test for an OLS estimate. The null hypothesis is "OLS estimators are consistent". Can you please help me getting some code on this or any idea.

thanks

If you generally use the following formula for the DWH test:

TestStat=d' * inv(Est Asy Var [d]) * d

where d is the difference between the IV and LS estimators, you can use the following command to extract the components needed:

matrix MyOLSBeta=OLS_eq.@coef
matrix MyOLSCov=OLS_eq.@coefcov

matrix MyIVBeta=IV_eq.@coef
matrix MyIVCov=IV_eq.@coefcov

The distribution of the test statistic under the null then depends on an appropriate number of DoF.

/K

Thanks.

I need one more explanation. I used TSLS for an estimation and then followed regressor endogeneity test that is Durbin-Wu-Hausman. My regressor turns out to be endogenous as the null hypothesis is accepted. So far this means that the regressor is endogenous, so in this case can I go back and perform my OLS or I have to stick to my TSLS estimates only.

I am bit confused in this.

Please help.

If I recall correctly (you have to check) and read the test in the right way, a small observed value of the test statistic is an indication of OLS being "OK". The procedure should be described in detail in standard econometric books.