Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Hausman test


From   Zhehui Luo <luozhehu@msu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman test
Date   Thu, 05 Dec 2002 02:00:13 -0500

Dear Listers,

In Stata manual on Hausman method and formulas, they describe the test as H=(b1-b2)'[V(b1)-V(b2)]^-1(b1-b2). I assume they use the difference of the variances, instead of the variance of the difference. Is that the case? If so, is it correct to use heteroskedasticity robust standard errors for Hausman test? In other words, is it correct to do the following?
.estimate the less efficient, but consistent model, with robust option
.hausman, save
.estimate the fully efficient model, with robust option
.hausman

Thanks for any helpful comments.

Zhehui


*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index