Dear Achim, thank you very much.
One follow up question. The Hausman-test always gives me a p-value of 1 - no matter how small the statistic is. I now generated orthogonal regressors (X1-X3) and the test gives me Hausman specification test for consistency of the 3SLS estimation data: data Hausman = -0.0138, df = 2, p-value = 1 What is confusing to me is the "3SLS". I am just beginning to learn about instrumental variables (I am a psychologist ;) Perhaps that's a problem? As a background, here's the complete simulation: W = rnorm(1000) X2 = rnorm(1000) X3 = rnorm(1000) X1 = .5*W + rnorm(1000) Y = .4*X1 + .5*X2 + .6*X3 + rnorm(1000) data = as.data.frame(cbind(X1,X2,X3,Y,W)) fit2sls <- systemfit(Y~X1,data=data,method="2SLS",inst=~W) fitOLS <- systemfit(Y~X1,data=data,method="OLS") print(hausman.systemfit(fitOLS, fit2sls)) Best, Holger -- View this message in context: http://r.789695.n4.nabble.com/Hausman-Test-tp3220016p3220065.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.