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st: generalized test alternative to Hausman 3


From   "Pasquale Pazienza" <p.pazienza@unifg.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: generalized test alternative to Hausman 3
Date   Fri, 16 Sep 2011 13:12:50 +0200

Dear Mark,

thanks again for your reply. While highlighting that STATA version 10 is the one I am
using, I report the Hausman test result here below.

Tab. Hausman test results.
	              Coefficients		
	            (b)	          (B)	         (b-B)	        Sqrt (duag(v_b-V_B))
	             fe	           .	         difference	S.E.
Ln_GDPsct_pw	-.0793763	.0256665	-.1050429	.1291917
Ln_GDPscr_pw2	-.000889	-.0030242	.0021352	.0033101
Ln_FLWsct_pGDP	-.0002738	-.0001679	-.0001059	-
Ln_SCTrel_2	.1359481	.166646	        -.0306978	.0341267
Ln_GCF_pw	.1085437	.1586885	-.0501448	.0367002
Ln_edu	        1.906183	1.578326	.3278571	.2079112
Ln_MKTopn_2	-.164718	-.1369007	-.0278172	.0254818
Ln_1_CRpr_GDP_1	-.0030535	-.0033269	.0002734	-

b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference  in coefficients not systematic
Chi2 (B) = (b-B) ? [(v_b-V_B)^(-1)] (b-B) 
= - 25.37 chi2 < 0 ==> model fitted on these data fails to meet asymptotic assumptions
of the Hausman test; see SUEST for a generalized test

 

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