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st: Degree of freedom in Hausman test and more

From   Zhehui Luo <>
Subject   st: Degree of freedom in Hausman test and more
Date   Wed, 11 Dec 2002 18:09:08 -0500

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.


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