Storing Hausmann test values for each year

[Chinmay Sharma]

Hi All,

I have data that resembles the following:

* Example generated by -dataex-. To install: ssc install dataex
clear
input float(year y x z)
1989 234 324 342
1989 324  32 324
1989  32   4  24
1989 324   3   3
1989  32   2   2
1989 234   2   4
1989  32 345   2
1989 324  32   3
1989 324  23   .
1990 324   2  32
1990 324   4   5
1990   3  23  43
1990   4   5   3
1990   3  32  32
1990  32 324   6
1990   2   5  32
1990   3  32   2
1990   2  23   4
end

Here, I have information by year on dependent variable y, endogenous regressor x and instrument z. I am computing year-on-year regression coefficients, using the following code:

gen beta=.
levelsof year, local(year)
foreach i of local year {
ivregress 2sls y (x = z) if year == `i'  
gen temp2=_b[InteractionActual]
replace beta=temp2 if  year == `i'
drop temp2
}

However, I also wish to test the equality of the 2SLS coefficients with the OLS coefficients each year, by considering a Hausmann type test for each year, and then storing the p value (or the chi-2 vaulue) for that year. Any help on this is much appreciated.



Best,
CS

[Phil Bromiley]

Generate variables to store the results before the loop. Create a local to use as the observation number. After the hausman, issue ereturn list and return list to see what is saved. Then, use replace with the observation number to save the results you want. increment the local, and let the loop run.