Dongshu asked,
> 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
In order to determine what is the adequate estimator that should be used
you
don't need to perform any comparison with OLS2.
Next Dongshu asked,
> 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?
This is a bug that was already fixed. While connected to Internet type,
"update all" and follow the instructions. You will get the correct output
after updating Stata.
Dongshu also asked:
> 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?
As I said before, you shouldn't perform the Hausman test using the
specification
in this last example. However, the result that you are getting may occur
even with
a well-specified problem. The reason for getting a negative test-statistic
is that
the hausman test relies on asymptotic properties; with an infinitely large
sample
the difference between the two covariance matrices is guaranteed to be
positive
definite, but with finite samples that need not be the case.
Gustavo
[email protected]
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