Hello everyone
I need a help with Hausman specification test in case of applying this test for ARDL model (PMG, MG, DFE)
My inquiries are:
1) What the correct expression of the code? is it
hausman MG PMG
Or
hausman PMG MG
hausman MG DFE
Or
hausman DFE MG
2) what is the null hypothesis of the test? is it as provided in Stata (difference in coefficients not systematic) Or as in many researches in literature (homogeneity restrictions) ?
3) What is the decision rule of the test?
* Should I reject the null at 1%, 5% or 10%? Or
* Should I use 5% rule: If p-value > 5%, then use PMG
: If p-value < 5%, then use MG
3) How can I use the options (constant, alleqs, sigmamore, sigmaless) ?
Thanks in advance
I need a help with Hausman specification test in case of applying this test for ARDL model (PMG, MG, DFE)
My inquiries are:
1) What the correct expression of the code? is it
hausman MG PMG
Or
hausman PMG MG
hausman MG DFE
Or
hausman DFE MG
2) what is the null hypothesis of the test? is it as provided in Stata (difference in coefficients not systematic) Or as in many researches in literature (homogeneity restrictions) ?
3) What is the decision rule of the test?
* Should I reject the null at 1%, 5% or 10%? Or
* Should I use 5% rule: If p-value > 5%, then use PMG
: If p-value < 5%, then use MG
3) How can I use the options (constant, alleqs, sigmamore, sigmaless) ?
Thanks in advance
