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Re: st: Re: hausman test


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: hausman test
Date   Wed, 6 Nov 2002 17:06:01 -0000

Dawn,

If you're using -hausman- after ivreg, you won't get the "failure to 
meet the asymptotic assumptions" problem if you use the -sigmamore- 
option.  This guarantees that the matrix difference in the middle of 
the standard Hausman test statistic is positive definite.

Even simpler, just to install -ivendog- from ssc-ideas.  This will 
give you both the Wu-Hausman artificial regression F stat, and the 
(Durbin-Wu-)Hausman chi-sq statistic, after estimation using -ivreg-.

Hope this helps.

--Mark

Date sent:      	Wed, 06 Nov 2002 11:53:37 -0500
From:           	"WILLIAM EVEN" <EVENWE@muohio.edu>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: Re: hausman test
Send reply to:  	statalist@hsphsun2.harvard.edu

> An alternative approach to the Hausman test is to include the residual
> from the reduced form equation into the primary equation and perform a
> t-test on its significance.   This avoids any problems with the
> differences in the variance covariance matrices being non-positive
> definite that one can encounter in the original formulation of the
> test.
> 
> 
> 
> Bill Even, Professor
> Department of Economics
> Miami University
> Oxford, OH 45056
> 
> Phone: 513-529-2865
> Fax:  513-529-6992
> home page: www.sba.muohio.edu/evenwe
> e-mail:  evenwe@muohio.edu
> 
> >>> dmb73@columbia.edu 11/06/02 10:29AM >>>
> Hi,
> 
> I'd like to know if anyone has any suggestions on how to proceed when
> you cannot perform the Hausman specification test because your data
> does not meet the asymptotic assumptions of the test. The augmented
> regression test is also based on the same assumptions of the Hausman
> and so is of no help in this regard. I am using the Hausman test as a
> pre-test for two-way causation but cannot perform it in some
> instances. Is any one familiar with any alternatives to theses tests
> for @SLS? If not, is the best approach to report results of both the
> OLS models and the 2SLS models?
> 
> Thanks.
> DB
> 
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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