st: Degree of freedom in Hausman test and more

[Zhehui Luo <luozhehu@msu.edu>]

Dear Listers,

Question 1:
I performed the following steps on two data sets with the same variables in 
each case:

.ivreg y1 x1 (y2=x2)
.hausman, save
.reg y1 y2 x1
.hausman, sigmamore

Stata gave me different degrees of freedom for each test. In one case the 
dof=number of endogenous variable (y2); in another case the dof=number of 
regressors (endogenous and exogenous, y2 and x1).

Can anyone tell me what went wrong? I thought with sigmamore option Hausman 
test will give dof=dim(y2).

Question 2:
My understanding of the above test is that it is comparing all regressors 
(y2 and x1) between OLS and IV, even though the dof of the test is the 
dimension of the instrumented variables. If I want to compare only the 
endogenous variables (y2-a scalor) between OLS and IV, under 
homoskedasticity I can follow Wooldridge (2002) page 120, but under 
heteroskedasticity, what should I do?


Question 3:
whitetst and ivhettest seem to require a lot of memory and space. I 
constantly run into errors  even in Stata SE, with 600M of memory 
specified. Is there a trick here?

Thanks in advance for any help.

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/