[Gretl-users] Instrumental variables and Hausman test

Hello everybody, I am trying to perform the Hausman test within a instrumental variables context. Using the smoke.gdt data from the Wooldridge's book, I regress the variable called lincome on a constant, cigs, educ, age and agesq. In order to do this I apply "instrumental variables->2sls", providing one instrument (in particular the variable called restaurn) for cigs, a variable that we suspect that could be correlated with the perturbation. As it can be seen below, the asymptotic test statistic is 5.00976. However, if I do it manually (or using another program like Stata), that value is totally different, getting 2.76 aproximately (the square of the estimates differences, (0.00173057-(-0.0413845))^2, over the variances differences, 0.0260279^2-0.00171372^2). What am I doing wrong? It could be a Gretl bug? Thanks a lot in advance. Javi Model 1: OLS, using observations 1-807 Dependent variable: lincome coefficient std. error t-ratio p-value ----------------------------------------------------------- const 7.79544 0.170427 45.74 1.05e-225 *** cigs 0.00173057 0.00171372 1.010 0.3129 educ 0.0603605 0.00789834 7.642 6.10e-014 *** age 0.0576907 0.00764359 7.548 1.21e-013 *** agesq −0.000630589 8.33822e-05 −7.563 1.08e-013 *** Mean dependent var 9.687315 S.D. dependent var 0.712695 Sum squared resid 341.8539 S.E. of regression 0.652880 R-squared 0.164978 Adjusted R-squared 0.160813 F(4, 802) 39.61341 P-value(F) 2.68e-30 Log-likelihood −798.5010 Akaike criterion 1607.002 Schwarz criterion 1630.469 Hannan-Quinn 1616.013 Model 2: TSLS, using observations 1-807 Dependent variable: lincome Instrumented: cigs Instruments: const restaurn educ age agesq coefficient std. error z p-value --------------------------------------------------------- const 7.78114 0.228129 34.11 5.52e-255 *** cigs −0.0413845 0.0260279 −1.590 0.1118 educ 0.0400241 0.0161607 2.477 0.0133 ** age 0.0932076 0.0236787 3.936 8.27e-05 *** agesq −0.00104373 0.000272324 −3.833 0.0001 *** Mean dependent var 9.687315 S.D. dependent var 0.712695 Sum squared resid 611.6565 S.E. of regression 0.873306 R-squared 0.024886 Adjusted R-squared 0.020022 F(4, 802) 22.62942 P-value(F) 9.92e-18 Log-likelihood −7885.899 Akaike criterion 15781.80 Schwarz criterion 15805.26 Hannan-Quinn 15790.81 Log-likelihood for income = −8614.4 Hausman test - Null hypothesis: OLS estimates are consistent Asymptotic test statistic: Chi-square(1) = 5.00976 with p-value = 0.0252048 JAVIER GARCÍA Departamento de Economía Aplicada III (Econometría y Estadística) Facultad de Economía y Empresa (Sección Sarriko) Avda. Lehendakari Aguirre 83 48015 BILBAO T.: +34 601 7126 F.: +34 601 3754 <http://www.ehu.es/> www.ehu.es http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/inf... ERNE! Baliteke mezu honen zatiren bat edo mezu osoa legez babestuta egotea. Mezuak badu bere hartzailea. Okerreko helbidera heldu bada (helbidea gaizki idatzi, transmisioak huts egin) eman abisu igorleari, korreo honi erantzunda. Kontuz! Mezua ez bada zuretzat, ez erabili, ez zabaldu beste inori, ez kopiatu eta ez baliatu. ¡ATENCIÓN! Este mensaje contiene información privilegiada o confidencial a la que sólo tiene derecho a acceder el destinatario. Si usted lo recibe por error le agradeceríamos que no hiciera uso de la información y que se pusiese en contacto con el remitente. http://www.unibertsitate-hedakuntza.ehu.es/p077-9030/es/contenidos/inform... E-mail hau inprimatu baino lehen egiaztatu inprimatzeko beharra. Antes de imprimir este e-mail piense bien si es necesario hacerlo.