hausman.systemfit {systemfit} | R Documentation |
hausman
returns the Hausman's statistic for specification.
q'(V_1 - V_0)q
where $V_1$ and $V_0$ are the covb values from a twostage
or
threestage
object and q is the difference in the b vectors from
the twostage
or threestage
objects.
hausman.systemfit( li.results, fi.results )
li.results |
the limited information results object
(twostage ) |
fi.results |
the full information results object
(threestage ) |
hausman.systemfit
returns the value of the test statistic.
Jeff D. Hamann jeff.hamann@forestinformatics.com
Greene, W. H. (1993) Econometric Analysis, Fifth Edition, Macmillan.
Hausman, J. A. (1978) Specification Tests in Econometrics. Econometrica. 46:1251-1271.
Kmenta, J. (1997) Elements of Econometrics, Second Edition, University of Michigan Publishing
## Not run: library( systemfit ) data( kmenta ) attach( kmenta ) demand <- q ~ p + d supply <- q ~ p + f + a inst <- ~ d + f + a labels <- list( "demand", "supply" ) system <- list( demand, supply ) ## perform the estimation and report the results for the whole system fit2sls <- systemfit( "2SLS", system, labels, inst) fit3sls <- systemfit( "3SLS", system, labels, inst) ## perform the hausman test on the first equation h <- hausman.systemfit( fit2sls, fit3sls ) pval <- 1 - pchisq( h, dim( fit3sls$bcov )[1] ) print( h ) print( pval )