I have two questions:
1- If I run this:
ivreg Y (X1= A1 A2) X2
And I am doing Hausman test to see if the OLS and IV are different.
I compare it with
OLS1 : reg Y X1 X2
my question is that shall I also compare OLS2 :reg Y X1 X2 A1 A2 ?
is it meaningful than OLS1
2. so I run this:
ivreg Y (X1= A1 A2) X2
est store e1
reg Y X1 X2
est store e2
hausman e1 e2
it appeared two columns, normally i think the first one (showed as
"b" in the stata output ) is e1, and then comes e2 (showed as "B" in
the output) , however,
it say "b= consistent under Ho and Ha; obtained from regress" and "B=
inconsistent under Ha, efficient under H0, obtained from ivreg"
I am confused here, why it says b is from regress while e1 was from
my IV regression? the same like B. why it says the opposite?
Also, I found that if I performed
reg Y X1 X2 A1 A2
est store e3
hausman e1 e3
While the hausman test on e1 and e2 gave me positive number, the
latter hausman (e1 and e3) comes along with negative test-statistics.
Why?
Thank you very much for all your help!
-Dongshu
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