On Thu, 31 Jan 2008, Sven Schreiber wrote:
> So either make things like $hausman and $sargan matrices with two or three
> elements each: test statistic, possibly d.o.f., p-value.
In my current source tree, you now have that if you run
<script>
open denmark
tsls 1 0 2 ; 0 3 4
a = $hausman
print a
</script>
you get
<output>
Model 1: TSLS estimates using the 55 observations 1974:1-1987:3
Dependent variable: LRM
Instruments: IBO IDE
VARIABLE COEFFICIENT STDERROR T STAT P-VALUE
const -7.01705 2.60634 -2.692 0.00710 ***
LRY 3.15360 0.437855 7.202 <0.00001 ***
[...snip...]
Hausman test -
Null hypothesis: OLS estimates are consistent
Asymptotic test statistic: Chi-square(1) = 101.11
with p-value = 8.69944e-24
[...snip...]
? a = $hausman
Generated matrix a
? print a
a (1 x 3)
101.11 1.0000 8.6994e-24
</output>
Would this be ok? If it is, I'll add $sargan too and submit a patch to
Allin for review.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
