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RE: st: Negative Chi-square value in Hausman specification test


From   "Vincenzo Verardi" <vincenzo_verardi@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Negative Chi-square value in Hausman specification test
Date   Wed, 18 Feb 2004 14:14:50 -0400

Hello,

I think that in this case you cannot interpret it. In fact when the s.e. of the beta of the consistent (under both H0 and H1) but not efficient (under H0) estimator is smaller than the s.e. of the efficient and consistent estimator (under H0 but inconsistent under H1) , the test is not applicable (this might be the case in small samples).

Hope it helps

VV


From: "M Parameswaran" <parameswaran@cds.ac.in>
Reply-To: statalist@hsphsun2.harvard.edu
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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