Hello,
I think that in this case you cannot interpret it. In fact when the s.e. of
the beta of the consistent (under both H0 and H1) but not efficient (under
H0) estimator is smaller than the s.e. of the efficient and consistent
estimator (under H0 but inconsistent under H1) , the test is not applicable
(this might be the case in small samples).
Hope it helps
VV
From: "M Parameswaran" <[email protected]>
Reply-To: [email protected]
To: [email protected]
Subject: st: Negative Chi-square value in Hausman specification test
Date: Wed, 18 Feb 2004 21:39:19 +0530 (IST)
Dear Friends,
Now i am doing a Hausman specification test, testing the difference
between GMM-instrumental variable estimates and OLS estimates for the
possible
endogenity of the regressors. In some cases i getting negative Chi-square
value. (This is because the variance-covariance matrix of the differeces of
the
coefficients is not positive definite) How can I interpret it? In the case
of
negative chi-square values, can i accept the null hypothesis? Any
suggestions
andcomments are most welcome.
Thanking you in advance,
M Parameswaran
--------------------------------------------------
M Parameswaran
Ph.D Student
Centre for Development Studies,
Prasanthnagar Road, Ulloor,
Trivandrum 695 011,
Kerala,India.
Phone: 0091-0471-442481
E-mail: [email protected]
[email protected]
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