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Re: st: Re: hausman test


From   Dawn M Brancati <dmb73@columbia.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: hausman test
Date   Wed, 6 Nov 2002 13:14:58 -0500 (EST)

Thanks for all the advice. I am working on it now. The sigmamore option
is under ivreg. I had already used it, however, and still received the
error message that I mentioned.

Dawn


On Wed, 6 Nov 2002, John A Karikari wrote:

> Could I have more information on the "sigmamore" option.  I couldn't
> find it using the search process.
> Thanks.
>
> >>> M.E.Schaffer@hw.ac.uk 11/06/02 12:06PM >>>
> 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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*************************************
Columbia University
Political Science Department
420 W. 118th Street, 7th Flr.
New York, NY 10027
E-Mail: dmb73@columbia.edu

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