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st: Hausman test

From   Zhehui Luo <>
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

Thanks for any helpful comments.


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