[R] Hausman Test

Ding, Jie Ding (NIH/NIA/ERP) [F] jieding.ding at nih.gov
Mon Sep 12 23:14:39 CEST 2016

Dear Achim,

Sorry to have disturbed you. I have encountered a problem  when computing Hausman test statistics (i.e. p values)  in R to compare OLS and 2SLS models.

The problem is a discrepancy between the two p-value outputs from the "manual approach (by hand)" and the " diagnostics argument" in the "AER" library, respectively.

With respect to manual approach, I used the following codes:

x2_diff<-as.vector(t(cf_diff)%*% solve(vc_diff)%*%cf_diff)

For diagnostic approach, I applied the following:

summary(ivreg, vcov = sandwich, df = Inf, diagnostics = TRUE)

However, p-value from the manual approach is always much larger than the diagnostic approach, e.g.  0.329 vs. 0.138

I would expect the values should be the same. Your advice would be highly appreciated.

With very best wishes,

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