[R] Hausman Test

[Ding, Jie Ding (NIH/NIA/ERP) [F]]

Dear Achim,

Sorry to have disturbed you. I have encountered a problem  when computing Hausman test statistics (i.e. p values)  in R to compare OLS and 2SLS models.

The problem is a discrepancy between the two p-value outputs from the "manual approach (by hand)" and the " diagnostics argument" in the "AER" library, respectively.

With respect to manual approach, I used the following codes:

cf_diff<-coef(ivreg)-coef(olsreg)
vc_diff<-vcov(ivreg)-vcov(olsreg)
x2_diff<-as.vector(t(cf_diff)%*% solve(vc_diff)%*%cf_diff)
pchisq(x2_diff,df=2,lower.tail=FALSE)


For diagnostic approach, I applied the following:

summary(ivreg, vcov = sandwich, df = Inf, diagnostics = TRUE)


However, p-value from the manual approach is always much larger than the diagnostic approach, e.g.  0.329 vs. 0.138

I would expect the values should be the same. Your advice would be highly appreciated.

With very best wishes,
Jennifer



	[[alternative HTML version deleted]]