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2.4 Endogenous explanatory variables

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f) Perform the Hausman Specification Test on both equations. See Berndt, Ernst R. (1991) The Practice of Econometrics (Reading, MA: Addison-Wesley Publishing Company): 375-380.

g) When presenting this model, Maddala notes “[T]he model postulated here is not necessarily the right model for the problem of analyzing the commercial loan market.” Is there anything in the results reported above that suggests that the model may be mis-specified?

Monthly data for the u.s. commercial loan market, january 1979 to december 1984.
N Date Q R RD X RS y
1 January-79 251.8 11.75 9.25 150.8 9.35 994.3
2 February-79 255.6 11.75 9.26 151.5 9.32 1002.5
3 March-79 259.8 11.75 9.37 152.0 9.48 994.0
4 April-79 264.7 11.75 9.38 153.0 9.46 997.4
5 May-79 268.8 11.75 9.50 150.8 9.61 1013.2
6 June-79 274.6 11.65 9.29 152.4 9.06 1015.6
7 July-79 276.9 11.54 9.20 152.6 9.24 1012.3
8 August-79 280.5 11.91 9.23 152.8 9.52 1020.9
9 September-79 288.1 12.90 9.44 151.6 10.26 1043.6
10 October-79 288.3 14.39 10.13 152.4 11.70 1062.6
11 November-79 287.9 15.55 10.76 152.4 11.79 1058.5
12 December-79 295.0 15.30 11.31 152.1 12.64 1076.3
13 January-80 295.1 15.25 11.86 152.2 13.50 1063.1
14 February-80 298.5 15.63 12.36 152.7 14.35 1070.0
15 March-80 301.7 18.31 12.96 152.6 15.20 1073.5
16 April-80 302.0 19.77 12.04 152.1 13.20 1101.1
17 May-80 298.1 16.57 10.99 148.3 8.58 1097.1
18 June-80 297.8 12.63 10.58 144.0 7.07 1088.7
19 July-80 301.2 11.48 11.07 141.5 8.06 1099.9
20 August-80 304.7 11.12 11.64 140.4 9.13 1111.1
21 September-80 308.1 12.23 12.02 141.8 10.27 1122.2
22 October-80 315.6 13.79 12.31 144.1 11.62 1161.4
23 November-80 323.1 16.06 11.94 146.9 13.73 1200.6
24 December-80 330.6 20.35 13.21 149.4 15.49 1239.9
25 January-81 330.9 20.16 12.81 151.0 15.02 1223.5
26 February-81 331.3 19.43 13.35 151.7 14.79 1207.1
27 March-81 331.6 18.04 13.33 151.5 13.36 1190.6
28 April-81 336.2 17.15 13.88 152.1 13.69 1206.0
29 May-81 340.9 19.61 14.32 151.9 16.30 1221.4
30 June-81 345.5 20.03 13.75 152.7 14.73 1236.7
31 July-81 350.3 20.39 14.38 152.9 14.95 1221.5
32 August-81 354.2 20.50 14.89 153.9 15.51 1250.3
33 September-81 366.3 20.08 15.49 153.6 14.70 1293.7
34 October-81 361.7 18.45 15.40 151.6 13.54 1224.6
35 November-81 365.5 16.84 14.22 149.1 10.86 1254.1
36 December-81 361.4 15.75 14.23 146.3 10.85 1288.7
37 January-82 359.8 15.75 15.18 143.4 12.28 1251.5
38 February-82 364.6 16.56 15.27 140.7 13.48 1258.3
39 March-82 372.4 16.50 14.58 142.7 12.68 1295.0
40 April-82 374.7 16.50 14.46 141.5 12.70 1272.1
41 May-82 379.3 16.50 14.26 140.2 12.09 1286.1
42 June-82 386.7 16.50 14.81 139.2 12.47 1325.8
43 July-82 384.4 16.26 14.61 138.7 11.35 1307.3
44 August-82 384.5 14.39 13.71 138.8 8.68 1321.7
45 September-82 395.0 13.50 12.94 138.4 7.92 1335.5
46 October-82 393.7 12.52 12.12 137.3 7.71 1345.2
47 November-82 398.9 11.85 11.68 135.7 8.07 1358.1
48 December-82 395.3 11.50 11.83 134.9 7.94 1409.7
49 January-83 392.4 11.16 11.79 135.2 7.86 1385.4
50 February-83 392.3 10.98 12.01 137.4 8.11 1412.6
51 March-83 395.9 10.50 11.73 138.1 8.35 1419.5
52 April-83 393.5 10.50 11.51 140.0 8.21 1411.0
53 May-83 391.7 10.50 11.46 142.6 8.19 1413.1
54 June-83 395.3 10.50 11.74 144.4 8.79 1443.8
55 July-83 397.7 10.50 12.15 146.4 9.08 1438.1
56 August-83 400.6 10.89 12.51 149.7 9.34 1461.4
57 September-83 402.7 11.00 12.37 151.8 9.00 1448.9
58 October-83 405.3 11.00 12.25 153.8 8.64 1459.0
59 November-83 412.0 11.00 12.41 155.0 8.76 1499.4
60 December-83 420.1 11.00 12.57 155.3 9.00 1508.9
61 January-84 424.4 11.00 12.20 156.2 8.90 1504.1
62 February-84 428.8 11.00 12.08 158.5 9.09 1499.3
63 March-84 433.1 11.21 12.57 160.0 9.52 1494.5
64 April-84 439.7 11.93 12.81 160.8 9.69 1501.5
65 May-84 447.3 12.39 13.28 162.1 9.83 1541.3
66 June-84 452.9 12.60 13.55 162.8 9.87 1532.9
67 July-84 454.4 13.00 13.44 164.4 10.12 1535.5
68 August-84 455.2 13.00 12.87 165.9 10.47 1539.0
69 September-84 459.9 12.97 12.66 166.0 10.37 1549.9
70 October-84 467.7 12.58 12.63 165.0 9.74 1578.9
71 November-84 468.7 11.77 12.29 164.4 8.61 1578.2
72 December-84 476.8 11.06 12.13 164.8 8.06 1631.2

References

Angrist, Joshua D. and Alan B. Krueger (2001). Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments. Journal of Economic Perspectives 15 (4): 69–85.

Berndt, Ernst R. (1991). The Practice of Econometrics (Reading, MA: Addison-Wesley Publishing Company).

Greene, William H. (1990). Econometric Analysis (New York: Macmillan Publishing Company).

Murray, Michael P. (2006a). Avoiding Invalid Instruments and Coping with Weak Instruments. Journal of Economic Perspectives 20 (4): 111-132.

Murray, Michael P. (2006b). Econometrics: A Modern Introduction. (Boston: Addison-Wesley): Chapter 13.

Schmalensee, Richard (1972). The Economics of Advertising (Amsterdam: North-Holland Publishing Company).

StataCorp (2003). Stata Statistical Software: Release 8 (College Station, TX: Stata Corporation): Volume 2: Reference G-M, pages 186-194.

Stock, James H, and Mark W. Watson (2003). Introduction to Econometrics (Boston, MA: Addison-Wesley): Chapter 10.

US Department of Commerce (1975). Historical Statistics of the United States: Colonial Times to 1970 (Washington: Government Printing Office).

US Surgeon General’s Advisory Committee (1964). Smoking and Health (Washington: Government Printing Office).
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Source:  OpenStax, Econometrics for honors students. OpenStax CNX. Jul 20, 2010 Download for free at http://cnx.org/content/col11208/1.2
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