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st: Reproduce Hausman Specification Test


From   PNIR PUISSANCE <pnirpuissance@yahoo.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: Reproduce Hausman Specification Test
Date   Sat, 12 Nov 2005 10:06:24 +0100 (CET)

Dear statalist!

I would like to reproduce the Hausman specification
with matrix but my result is very different with
hausman command result in stata. Here are my stata and
mata code:


us nls80;
ivreg lwage $x (educ=$z);
matrix b_instru=get(_b);
matrix V_instru=get(VCE);
est store instrum;
regress lwage $x educ;
matrix b_ols=get(_b);
matrix V_ols=get(VCE);
*Hausman Specification Test: stata command*;
hausman instrumen, sigmamore constant;
Test:  Ho:  difference in coefficients not systematic

                  chi2(8) =
(b-B)'[(V_b-V_B)^(-1)](b-B)
                          =       12.77
                Prob>chi2 =      0.1201

*Hausman Specification Test: with matrix*
matrix Q     = V_OLS - V_instru;
matrix Q_inv = syminv(Q);
matrix q     = b_instru - b_ols;
matrix HT    = q*Q_inv*q';
matrix list HT;
symmetric HT[1,1]
           y1
y1  427.16464
*with stata command I get 12.77 and with matrix I get
427.16464. I don't know why this differnce, maybe I
make a mystake in compute or in comprehension of
hausman (78).*;

I try now with mata to use the Moore-Penrose inverse
that suggest in hausman.ado file (MatGinv)

mata:;

b_instru = st_matrix("b_instru");
V_instru = st_matrix("V_instru");
b_ols    = st_matrix("b_ols");
V_ols    = st_matrix("V_ols");

Q       = V_ols - V_instru;
q       = b_instru - b_ols; 
pinv_Q  = pinv(Q);
HT_pinv = q*pinv_Q*q';
st_matrix("HT_pinv");
end;

mat list HT_pinv;
symmetric HT[1,1]
           y1
y1  161.74489
With mata I get 161.744489, can someone help to
understand these differents values of Hausman
statistic test.
Thanks You very much in advance for your help!














	

	
		
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