Exogeneity: Wu-Hausman and Sargan Tests in Python Videos

Last Update: March 24, 2022

My online video tutorials are hosted at YouTube channel.

For learning this concept, you can view my online video tutorials: Exogeneity: Wu-Hausman and Sargan Tests in Python (Spyder) and Exogeneity: Wu-Hausman and Sargan Tests in Python (Jupyter).

Videos Code

1. Packages

import statsmodels.api as sm
import statsmodels.formula.api as smf
import linearmodels.iv.model as lm

2. Data

houseprices_object = sm.datasets.get_rdataset(dataname="HousePrices",
                                              package="AER", cache=True)
houseprices = houseprices_object.data
print(houseprices.head())
print(houseprices_object.__doc__)

3. Model

mlr1 = smf.ols(formula="price ~ lotsize + bedrooms", 
               data=houseprices).fit()

4. Exogeneity

Two Stage Least Squares

mdatac = sm.add_constant(data=houseprices, prepend=False)
mlr2 = lm.IV2SLS(dependent=mdatac["price"],
                 exog=mdatac[["const", "bedrooms"]],
                 endog=mdatac["lotsize"],
                 instruments=mdatac[["driveway", "garage"]]).fit(
                     cov_type="homoskedastic", debiased=True)

Wu-Hausman Tests

print(mlr2.wu_hausman())
print(mlr2.wooldridge_regression)

Sargan Over-identifying Restrictions Test

print(mlr2.sargan)

Courses

My online courses are hosted at Teachable website.

For more details on this concept, you can view my Linear Regression in Python Course.