[Gretl-devel] 'modtest' extensions (was: Why a separate 'hausman' command?)
Am 19.09.2017 um 14:47 schrieb Sven Schreiber:
The 'hausman' command does a very specific thing, namely test
a _pooled_
OLS specification in panel data. In contrast, the better-known Hausman
test of RE vs. FE, and also that of OLS vs. IV/TSLS is automatically
done if applicable.
Why then isn't the Hausman test after pooled OLS done automatically as
well? And related: Why are there no $test and $pvalue accessors after
the 'hausman' command? (At least it's not in the doc.)
My preference would be to deprecate the 'hausman' command, do the test
of the pooled specification automatically, and extend the $hausman
accessor to that case.
Opinions?
I believe that now right after the release (of 2017d) is a good time to
discuss this further. Actually I would suggest to consolidate more
diagnostic commands into 'modtest':
# instead of 'cusum':
modtest --cusum [--squares --quiet]
# instead of 'qlrtest':
modtest --qlrtest [--limit-to=... --plot=... --quiet]
# instead of 'reset':
modtest --reset [--squares-only --cubes-only --quiet --silent]
# and again the 'hausman' thing of the previous post
# (so this would automatically change its meaning,
# depending on whether it's invoked after 'tsls' or after 'panel'):
modtest --hausman [--nerlove --matrix_diff]
# instead of 'chow':
modtest --chow [--dummy=... --obs=... --limit-to=... --quiet]
Maybe there are even more instances where this consolidation would
apply. In my view it would be more intuitive and logical to have a
common interface for those diagnostic tests, given that we already have
'modtest' but that it is currently somewhat arbitrary and path-dependent
which specific tests it covers.
cheers,
sven