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Hausman test: missing values in cov matrix difference column


From   [email protected]
To   [email protected]
Subject   Hausman test: missing values in cov matrix difference column
Date   Wed, 8 Dec 2004 10:41:03 +0800

Dear Statalisters,

I test for endogeneity of health insurance in health care utilization, by
jointly estimating 2 equations:

utilization equation: dependent variable = utilization
                      independent variables = insurance + others

Insurance equation:   dependent variable = insurance
                      independent variable = age + others

Bivariate probit model is used. A Hausman test is then performed on the result
estimated from the bivariate probit model and the univariate probit model (of
utilization equation). 

All parameters are estimated in these two models. However, in Hausman test some
values in the column of covariance matrix difference is missing, despite the
Hausman statistic is output. I want to ask whether this missing values will
affect the crediblility of the Hausman statistics, thus making the Hausman test
result untrustable?

Thanks a lot for kindly helping!

Sincerely,
Isaac Yip

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