Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Re: negative haumsan test statistics


From   Yee Kyoung Kim <icejean@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: negative haumsan test statistics
Date   Fri, 1 May 2009 20:33:52 +0900

Dear Martin,

Thank you for the reply.
I have not reversed the order.
System GMM is suppposed to be consistent.
Therefore, I did as below...

Hausman gmm fe

Does it mean that the gmm estimates are no longer consistent?

I tried -suest- but GMM does not generate "score" that is required for
"predict". So, this doesn't help ...

Thank you.

YK
On Fri, May 1, 2009 at 7:48 PM, Martin Weiss <martin.weiss1@gmx.de> wrote:
> <>
>
> 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
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



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

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index