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st: RE: hausman vs suest


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: hausman vs suest
Date   Tue, 9 Aug 2005 19:54:16 -0500

Sofia,

You should take a look at the October 1, 2003 message from Vince Wiggins
(vwiggins@stata.com) at:
http://www.stata.com/statalist/archive/2003-10/msg00031.html

In it, he presents an augmented regression that is asymptotically equivalent
to the Hausman test.

Hope this helps,
Scott


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of sabc@uevora.pt
> Sent: Tuesday, August 09, 2005 7:57 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: hausman vs suest
> 
> Dear all,
> 
> When I perform a hausman test after using xtivreg, fe and xtivreg, re I
> get a message in the end which says "V_b-V_B is not positive definite":
> 
> 
> . hausman fe re
> 
>                  ---- Coefficients ----
>              |      (b)          (B)            (b-B)     sqrt(diag(V_b-
> V_B))
>              |       fe           re         Difference          S.E.
> -------------+------------------------------------------------------------
> ----
>  racionettax |    .1282918     .1374477       -.0091559               .
>          ilt |    .0442928     .1231377       -.0788449        .0198359
>         lags |       .7338     .8924503       -.1586503        .0199258
>    outputgap |    .1484418     .0675944        .0808473               .
>      racio_g |    -.580745    -.2084519       -.3722931        .0463222
> --------------------------------------------------------------------------
> ----
>                          b = consistent under Ho and Ha; obtained from
> xtivreg
>           B = inconsistent under Ha, efficient under Ho; obtained from
> xtivreg
> 
>     Test:  Ho:  difference in coefficients not systematic
> 
>                   chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>                           =       72.33
>                 Prob>chi2 =      0.0000
>                 (V_b-V_B is not positive definite)
> 
> 
> There is a remark in the stata help for hausman which says:
> Hausman's test is based on estimating the variance var(b-B) of the
> difference of the estimators by the difference var(b)-var(B) of the
> variances.  Under the assumptions (1) and (3), var(b)-var(B) is a
> consistent estimator of var(b-B), but it is not necessarily positive
> definite "in finite samples", i.e., in your application.  If this is the
> case, the Hausman test is undefined.  Unfortunately, this is not a rare
> event.  Stata supports a generalized Hausman test that overcomes both of
> these problems.  See suest for details.
> 
> Apparently, I should use suest but I cannot perform it. Can anyone help
> me?
> 
> Best regards,
> Sofia.
> 
> 
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