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st: Negative Chi-square value in Hausman specification test


From   "M Parameswaran" <parameswaran@cds.ac.in>
To   statalist@hsphsun2.harvard.edu
Subject   st: Negative Chi-square value in Hausman specification test
Date   Wed, 18 Feb 2004 21:39:19 +0530 (IST)

Dear Friends,
Now i am doing a Hausman specification test, testing the difference
between GMM-instrumental variable estimates and OLS estimates for the possible
endogenity of the regressors. In some cases i getting negative Chi-square
value. (This is because the variance-covariance matrix of the differeces of the
coefficients is not positive definite) How can I interpret it? In the case of
negative chi-square values, can i accept the null hypothesis? Any suggestions 
andcomments are most welcome.
Thanking you in advance,
M Parameswaran
--------------------------------------------------
M Parameswaran
Ph.D Student
Centre for Development Studies,
Prasanthnagar Road, Ulloor,
Trivandrum 695 011,
Kerala,India.
Phone: 0091-0471-442481
E-mail: parameswaran@cds.ac.in
        parameswaran74@hotmail.com

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