*
* 2SLS estimation from pp 292-293
*
open data consump.dat
calendar 1950
data(format=prn,org=columns) 1950:1 1993:1 year y c
*
* Generate ix (can't use i) as the difference between y and c
*
set ix = y-c
linreg c
# constant y
*
* Save the coefficients and the %XX for use in the Hausman test
*
compute betaols=%beta,xxols=%seesq*%xx
*
* 2SLS estimates
*
instruments constant ix
linreg(instruments) c
# constant y
*
* The examples of the Hausman test in the RATS manual handle the scale factors a
* bit differently. This calculation uses separate estimates of %seesq, while the
* code shown in the RATS manual uses a common value. Note that the TEST
* instruction correctly adjusts the degrees of freedom.
*
test(all,form=chisquared,covmat=%seesq*%xx-xxols,vector=betaols,title="Hausman Test")