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st: negative hausman statistic after sigmamore


From   "Mark Dincecco" <m.dincecco@imtlucca.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: negative hausman statistic after sigmamore
Date   Tue, 5 Aug 2008 18:52:02 +0200

Dear all,

I am running xtpmg regressions for mg and pmg. The problem is that
when I run (hausman mg pmg, sigmamore), even using the (sigmamore)
option, a negative test statistic is returned.

In a 1984 Econometric article (p. 1226), Hausman and McFadden
interpret a negative H score as strong evidence of failure to reject
the null hypothesis that the difference in coefficient values is not
systematic.

My question is: Is there anything else I can or should try to do to
produce a positive H statistic? Before I take the negative H score as
evidence that IIA holds, I would like to be sure that I am not missing
something obvious.

Thanks very much. Your suggestions are be greatly appreciated.

Sincerely,
Mark
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