On Wed, 5 Apr 2017, Sven Schreiber wrote:
I think it's time to ditch the entry "Hausman test matrix is
not
positive definite (this result may be treated as\n
\"fail to reject\" the random effects specification).\n"
Although I have a 'classic' paper named "The Hausman test statistic can be
negative even asymptotically" which shows that that would happen only if H0
is wrong, I have tolerated the existence of that entry until now.
But for quite some time gretl also has had an alternative regression-based
Hausman test for Random Effects where the problem cannot happen. So why do we
still need this misleading gretl message?
The matrix-diff method for the Hausman test is still an option (for
comparability with other software). But OK, we can trash the
parenthetical clause in the above entry.
Allin