Thank you Allin

Get Outlook for Android
From: Allin Cottrell <cottrell@wfu.edu>
Sent: Friday, November 4, 2022 7:36:31 PM
To: Gretl list <gretl-users@gretlml.univpm.it>
Cc: Paul Rice <Paul.Rice@northampton.ac.uk>
Subject: [Gretl-users] Re: Hausman test and robust estimates
 
[CAUTION - EXTERNAL EMAIL] Please ensure you do not reply, click links, or open attachments unless you have verified the sender and know the content is safe.

On Fri, 4 Nov 2022, Alison Loddick wrote:

> This I'm hoping is an easy question. I'm doing panel regression
> with robust estimates. I have read that you cannot do a Hausman
> test on robust estimates. I'm wondering therefore whether Gretl
> does the test on the non-robust estimates or whether it does a
> robust hausman test?

As explained in the chapter of the Gretl User's Guide titled "Panel
data" there are two ways of carrying out the Hausman test, the
matrix-difference method (which can fail in finite samples) and the
regression method (which will always work).

By default gretl uses the regression method, and handles correctly
the case where a robust covariance estimator was employed for the
random effects model.

Actually the documentation in the User's Guide is out of date on
this point: it implies that gretl always uses sums of squared
residuals in computing the Hausman test via the regression method
(which would not be robust). In fact, in the robust case we compute
a Wald chi-square statistic based on a robust estimator of the
covariance matrix of the augmented regression. So the doc needs
updating; thanks for drawing that to our attention!

Allin Cottrell
_______________________________________________
Gretl-users mailing list -- gretl-users@gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave@gretlml.univpm.it
Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/

University of Northampton: Transforming Lives and Inspiring Change www.northampton.ac.uk This e-mail is private and may be confidential and is for the intended recipient only. If you are not the intended recipient you are strictly prohibited from using, printing, copying, distributing or disseminating this e-mail or any information contained in it. We virus scan all E-mails leaving The University of Northampton but no warranty is given that this E-mail and any attachments are virus free. You should undertake your own virus checking. The right to monitor E-mail communications through our networks is reserved by us.


Disclaimer

The information contained in this communication from the sender is confidential. It is intended solely for use by the recipient and others authorized to receive it. If you are not the recipient, you are hereby notified that any disclosure, copying, distribution or taking action in relation of the contents of this information is strictly prohibited and may be unlawful.

This email has been scanned for viruses and malware, and may have been automatically archived by Mimecast, a leader in email security and cyber resilience. Mimecast integrates email defenses with brand protection, security awareness training, web security, compliance and other essential capabilities. Mimecast helps protect large and small organizations from malicious activity, human error and technology failure; and to lead the movement toward building a more resilient world. To find out more, visit our website.