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Re: st: RE: Hausman test (via a Wald test)
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
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:
http://www.stata-journal.com/sjpdf.html?articlenum=st0030
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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