Greeting to the list,
I have a question regarding Hausman Specification
Test.
(I do not own Stata program so cant look up online
help)
After Hausman Specification Test command, result
listed and the following line appears as well..
chi2() = (b-B)'[S^(-1)](b-B), S=(S_fe - S_re)
I dont understand [S^(-1)] and S=(S_fe - S_re)
S_fe and S_re, are these the standard error of
coefficients from FE and RE estimation respectively?
And how can I compute S^(-1) ??
Could someone please kindly explain this??
I know STATA will provide the result chi2 and prob,
but I do want to know the detail of this statement.
(chi2() = (b-B)'[S^(-1)](b-B), S=(S_fe - S_re))
Thanks for your help.
Yean
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