Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Hausman test -- what's wrong here


From   Dongshu Ou <dongshu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman test -- what's wrong here
Date   Tue, 10 May 2005 23:52:53 -0500

    I have two questions:

   1- If I run this:

   ivreg Y (X1= A1 A2) X2

   And I am doing Hausman test to see if the OLS and IV are different.

   I compare it with

  OLS1 : reg Y X1 X2

  my question is that shall I also compare OLS2 :reg Y X1 X2 A1 A2 ?
is it meaningful than OLS1

   2. so I run this:

   ivreg Y (X1= A1 A2) X2
   est store e1

   reg Y X1 X2
   est store e2

   hausman e1 e2

   it appeared two columns, normally i think the first one (showed as
"b" in the stata output ) is e1, and then comes e2 (showed as "B" in
the output) , however,
it say "b= consistent under Ho and Ha; obtained from regress" and "B=
inconsistent under Ha, efficient under H0, obtained from ivreg"

  I am confused here, why it says b is from regress while e1 was from
my IV regression? the same like B. why it says the opposite?

  Also, I found that if I performed

   reg Y X1 X2 A1 A2
   est store e3

   hausman e1 e3

  While the hausman test on e1 and e2 gave me positive number, the
latter hausman (e1 and e3) comes along with negative test-statistics.
Why?

   Thank you very much for all your help!

  -Dongshu

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index