st: Hausman test (via a Wald test)

[John Antonakis <John.Antonakis@unil.ch>]

Hi:

Given that sometimes Stata cannot compute the Hausman test (because it 
is undefined or because the estimation procedure does not allow it), I 
have been thinking about ways to go around this limitation (and find 
SUEST to be particularly useful in this regard).

I was wondering, though, if anyone is aware of literature showing that a 
Wald test could do too (which would be particularly useful in the case 
of models where the Hausman test can't be used in Stata); more 
specifically, the Wald test I am suggesting is to test whether the 
parameters (of interest) from the efficient estimator are significantly 
different from those of the consistent estimator.  It would be very 
simply to do and could accommodate a large class of estimators.  
However, this test is only a constraint on the coefficient estimate/s 
from the efficient estimator and ignores the variance of estimates from 
the consistent estimator (thus I don't know to what extent this test 
would be useful).

Any thoughts?

Best,
John.

--
__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

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