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st: RE: Hausman test (via a Wald test)


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Hausman test (via a Wald test)
Date   Sun, 1 May 2011 17:03:00 +0200

John,

I don't get your point. Consistency refers to the parameter estimate, efficiency refers to the variance of the estimate.

The Hausman principle compares two estimators, both of which are consistent under the null but only one under the alternative.

This is quite general.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: 01 May 2011 16:51
To: statalist@hsphsun2.harvard.edu
Subject: st: Hausman test (via a Wald test)

Hi:

Given that sometimes Stata cannot compute the Hausman test (because it is undefined or because the estimation procedure does not allow it), I have been thinking about ways to go around this limitation (and find SUEST to be particularly useful in this regard).

I was wondering, though, if anyone is aware of literature showing that a Wald test could do too (which would be particularly useful in the case of models where the Hausman test can't be used in Stata); more specifically, the Wald test I am suggesting is to test whether the parameters (of interest) from the efficient estimator are significantly different from those of the consistent estimator.  It would be very simply to do and could accommodate a large class of estimators.  
However, this test is only a constraint on the coefficient estimate/s from the efficient estimator and ignores the variance of estimates from the consistent estimator (thus I don't know to what extent this test would be useful).

Any thoughts?

Best,
John.

--
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Prof. John Antonakis
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Department of Organizational Behavior
University of Lausanne
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Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
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