Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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

From   Christopher Baum <>
To   "" <>
Subject   Re: st: RE: Hausman test (via a Wald test)
Date   Sun, 1 May 2011 12:23:27 -0400


John said

> Thus, I am suggesting that one uses the Wald postestimation test following the OLS model to determine whether the estimate/s of the OLS model is/are significantly different from the estimate/s of the IV model. My question has to do with the fact that the Wald test, in this case, tests the OLS coefficient/s against a specific value/s (that of the IV estimator) and ignores the variance in the IV estimate/s--so I was wondering whether this was econometrically sound to do.

To that point, please see section 5 of Baum-Schaffer-Stillman, Stata Journal 2003:

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index