Hi, Stefan <mastersafi <at> web.de> writes:
> > Does anyone know how to do an Hausman test? > > I´ve estimate a modell (some alternatives) with clogit an wanted to test the > IIA test (Independence of Irrelevant > Alternatives) after estimating a multinomial logit model? My (privately) package includes Hausmann's IIA test. It is available from following URL: http://www.arumat.net/dc_0.1-3.zip (Windows Binary. If you need other binary or source format, email me) however you will easily do it: 1. Estimate 2 Logit models (full model, submodel), obtain coef (b.full, b.sub), covariance(vcov.full, vcov.sub), calculate their differences(db, dvcov) 2. calculate the statistic: t(db)%*%(dvcov)%*%(db) 3. df of this statistic is qr(dvcov)$rank 4. perform test by 1-pchisq(statistic, df) ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
