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Re: st: Re: negative haumsan test statistics


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: negative haumsan test statistics
Date   Fri, 1 May 2009 13:53:09 +0200

<>

Which command generates the System GMM results?


HTH
Martin
_______________________
----- Original Message ----- From: "Yee Kyoung Kim" <icejean@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, May 01, 2009 1:33 PM
Subject: Re: st: Re: negative haumsan test statistics


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
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--
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/



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