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st: Re: negative haumsan test statistics


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: negative haumsan test statistics
Date   Fri, 1 May 2009 12:48:50 +0200

<>

Are you sure you have respected the advice in the help file -h hausman-: "specify to hausman the models in the order "always consistent" first and "efficient under H0" second."?

A reversal of the models reverses the sign of the test statistic...

****
qui{
webuse nlswork4, clear
xtreg ln_wage age msp ttl_exp, fe
estimates store fixed
xtreg ln_wage age msp ttl_exp, re
est store re
}

hausman fixed .
//reversed
hausman re fixed
****

Apart from that, Stata offers you -suest- as a general alternative...


HTH
Martin
_______________________
----- Original Message ----- From: "Yee Kyoung Kim" <icejean@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, May 01, 2009 8:44 AM
Subject: st: negative haumsan test statistics


Dear subscribers,

I would like to test system GMM is consistent in comparison with FE.
For this purpose, I did "hausman gmm fe" and keep getting the negative
statistics.
Are there anybody to help me understand what is the problem?

Thanks in advance.

Best,

YK

--
Yee Kyoung Kim
Department of Economics
PhD candidate, Seoul National University, Seoul, Korea
(Phone) 016-595-6148
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