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
.estimate the fully efficient model, with robust option