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HAUSMAN: Stata module to compute a Hausman test statistic (version 5)

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  • Jeroen Weesie

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Abstract

hausman computes a Hausman test-statistic H for a hypothesis Ho. The test is based on the difference between two estimates b1 and b2. Under Ho, b1 is assumed to be consistent and efficient estimate with asymptotic covariance matrix V1. The alternative estimator b2, with asymptotic covariance matrix V2, is consistent --but usually inefficient--both under Ho and the alternative hypothesis Ha. This module is obsolete in Stata version 6.0, which contains a built-in hausman command.

Suggested Citation

  • Jeroen Weesie, 1997. "HAUSMAN: Stata module to compute a Hausman test statistic (version 5)," Statistical Software Components S323502, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s323502
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    File URL: http://fmwww.bc.edu/repec/bocode/h/hausman.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/h/hausman.hlp
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