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:
cf_diff<-coef(ivreg)-coef(olsreg)
vc_diff<-vcov(ivreg)-vcov(olsreg)
x2_diff<-as.vector(t(cf_diff)%*% solve(vc_diff)%*%cf_diff)
pchisq(x2_diff,df=2,lower.tail=FALSE)
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,
Jennifer
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