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From |
"Gustavo Sanchez" <gsanchez@stata.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Hausman test -- what's wrong here |

Date |
Wed, 11 May 2005 12:36:21 -0500 |

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 gas@stata.com * * 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/

**References**:**st: Hausman test -- what's wrong here***From:*Dongshu Ou <dongshu@gmail.com>

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