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st: Hausman Specification Test result
Greeting to the list,
I have a question regarding Hausman Specification
(I do not own Stata program so cant look up online
After Hausman Specification Test command, result
listed and the following line appears as well..
chi2() = (b-B)'[S^(-1)](b-B), S=(S_fe - S_re)
I dont understand [S^(-1)] and S=(S_fe - S_re)
S_fe and S_re, are these the standard error of
coefficients from FE and RE estimation respectively?
And how can I compute S^(-1) ??
Could someone please kindly explain this??
I know STATA will provide the result chi2 and prob,
but I do want to know the detail of this statement.
(chi2() = (b-B)'[S^(-1)](b-B), S=(S_fe - S_re))
Thanks for your help.
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