[Limdep Nlogit List] hausmantest

[Caroline Johanna Biehl]

Thank you very much! Now it works well.

Caroline

-------- Original-Nachricht --------
> Datum: Tue, 6 May 2008 19:12:09 -0400 (EDT)
> Von: William Greene <wgreene at stern.nyu.edu>
> An: Limdep and Nlogit Mailing List <limdep at limdep.itls.usyd.edu.au>
> Betreff: Re: [Limdep Nlogit List] hausmantest

> Ms. Biehl.
> You are computing the difference of the covariance matrices with the 
> wrong sign. It looks like you have another error in there also, "rest2."
> The J1 matrix is wasteful.  See below.
> /B. Greene
> 
> ?Hausman test 
> sample; all$ 
> reject; cset=-999$ 
> nlogit ;lhs= choice, cset, alti ;choices= a, b, c, other ;show ; model: 
> U(A)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest2+p*p+p1*p1+p2*p2+inc*inc/
> U(B)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest2+p*p+p1*p1+p2*p2+inc*inc/
> ?*********************************************** Rest2?
> U(C)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest
> +p*p+p1*p1+p2*p2+inc*inc/ 
> U(other)= 0$ 
> matrix; bu=b(1:8) ; vu = varb(1:9,1:8) $
> 
> reject; alti=1$ 
> reject; cs1=1$ 
> create; csetnew=3$ 
> create; if(alti=2)altinew=1$ 
> create; if(alti=3)altinew=2$ 
> create; if(alti=4)altinew=3$ 
> 
> ?Exclude a 
> nlogit ;lhs= choice, csetnew, altinew ;choices=  b, c, other ;show ;
> model: 
> ?U(A)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest2+p*p+p1*p1+p2*p2+inc*inc/
> 
> U(B)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest2+p*p+p1*p1+p2*p2+inc*inc/ 
> ?*********************************************** Rest2?
>  U(C)=Fre1*Fre1+Fre2*fre2+mo*mo+rest1*rest1+rest2*rest +p*p+p1*p1+p2*p2+
> inc*inc/ 
> U(other)= 0$ 
> matrix; br=b(1:8) ; vr = varb(1:8,1:8) $
> ?********************Vr-Vu
> matrix; bd=bu-br; vd=Vu-Vr$ 
> matrix; vindv=[vd]$ 
> matrix; list;q=bd'*vindv*bd$ 
> CALC;list;p=1-chi(q,8)$
> 
> ----- Original Message -----
> From: "Caroline Johanna Biehl" <Caroline-Johanna.Biehl at gmx.de>
> To: limdep at limdep.itls.usyd.edu.au
> Sent: Tuesday, May 6, 2008 4:00:44 PM (GMT-0500) America/Bogota
> Subject: [Limdep Nlogit List] hausmantest
> 
> Dear all, 
> The following hausman-test for my unbranded logit model leads to a
> negative difference matrix. Is there a way to change that?
> Thank you very much, 
> caroline
> 
> ?Hausman test
> sample; all$
> reject; cset=-999$
> nlogit
> ;lhs= choice, cset, alti
> ;choices= a, b, c, other
> ;show
> ; model: 
> U(A) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest2 + p*p  +
> p1*p1 + p2*p2  + inc*inc/
> U(B) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest2 + p*p +
> p1*p1 + p2*p2  + inc*inc/
> U(C) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest + p*p +
> p1*p1 + p2*p2  + inc*inc/
> U(other)= 0$
> 
> matrix; j1=[1,0,0,0,0,0,0,0,0/
> 		0,1,0,0,0,0,0,0,0/
> 		0,0,1,0,0,0,0,0,0/
> 		0,0,0,1,0,0,0,0,0/
> 		0,0,0,0,1,0,0,0,0/
> 		0,0,0,0,0,1,0,0,0/
> 		0,0,0,0,0,0,1,0,0/
> 		0,0,0,0,0,0,0,1,0]$
> matrix; bu=j1*B; Vu=J1*VARB*j1'$
> 
> reject; alti=1$
> reject; cs1=1$
> create; csetnew=3$
> create; if(alti=2)altinew=1$
> create; if(alti=3)altinew=2$
> create; if(alti=4)altinew=3$
> 
> ?Exclude a
> nlogit
> ;lhs= choice, csetnew, altinew
> ;choices=  b, c, other
> ;show
> ; model: 
> ? U(A) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest2 + p*p  +
> p1*p1 + p2*p2  + inc*inc/
> U(B) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest2 + p*p +
> p1*p1 + p2*p2  + inc*inc/
> U(C) = Fre1*Fre1 + Fre2*fre2 + mo*mo + rest1*rest1+ rest2*rest + p*p +
> p1*p1 + p2*p2  + inc*inc/
> U(other)= 0$
> 
> matrix; j2=[1,0,0,0,0,0,0,0,0/
> 		0,1,0,0,0,0,0,0,0/
> 		0,0,1,0,0,0,0,0,0/
> 		0,0,0,1,0,0,0,0,0/
> 		0,0,0,0,1,0,0,0,0/
> 		0,0,0,0,0,1,0,0,0/
> 		0,0,0,0,0,0,1,0,0/
> 		0,0,0,0,0,0,0,1,0]$
> matrix; br=j2*B; Vr=J2*VARB*j2'$
> 
> matrix; bd=bu-br; vd=Vu-Vr$
> matrix; vindv=[vd]$
> matrix; list;q=bd'*vindv*bd$
> CALC;list;p=1-chi(q,8)$
> 
> Output:
> Matrix Q        has  1 rows and  1 columns.
>                1
>         +--------------
>        1|   -8.69069
> --> CALC;list;p=1-chi(q,8)$
>   Error   471: Cannot compute CHI; parameter 1 is < = 0
>   Error   116: CALC - Unable to compute result. Check earlier message.
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> 
> 
> -- 
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY   10012
> http://www.stern.nyu.edu/~wgreene
> 
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