Summary
Hausman test
Intuition:
Under H0 (no endogeneity), OLS and 2SLS should give statistically equal results
Under HA (endogeneity), 2SLS will be consistent whereas OLS will not, and so the two methods should give different results
• We showed that the estimated coefficients of endogenous variables are inconsistent
• We explained in which situations we may encounter endogenous variables
• We defined the concept of instrumental variables
• We derived the 2SLS technique to deal with endogeneity
• We described the Hausman test for endogeneity
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