ENH: Add Hausman specification test #249
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This adds the Hausman specification test, commonly used to choose between a fixed effects model and a random effects model. The function includes the options
include_constant
,sigmamore
, andsigmaless
- which mirrors Stata.I haven't updated the documentation, but will be happy to do so if you want.
The function calculating an alternative covariance can perhaps be removed and replaced with adding a parameter to the covariance estimation.
I realize there is already a
wu_hausman
method for testing exogeneity in IV models, but I could not find a way to re-use it. Maybe the mathematics could be extracted into a shared function. Also I guess I should make the naming consistent.Finally, I have written tests, but they do not look at the actual numerical results. Do you generally generate these using Stata and then test against them?