SAS Institute Alert Note SN-008639

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Thu Oct 17 2002 - 13:45:05 EDT

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    SN-008639 ***Alert Note***

    HAUSMAN option on FIT statement computes incorrect results for all
    comparisons except OLS vs. 2SLS

    Product: SAS/ETS
    Component: MODEL procedure
    Priority: ALERT

      The HAUSMAN option on the FIT statement incorrectly computes the Hausman
      statistic and corresponding p-value for all comparisons except for the
      OLS vs. 2SLS comparison. For all other comparisons:

         OLS vs. SUR
         OLS vs. 3SLS
         2SLS vs. 3SLS

      the sign of the Hausman test statistic is opposite of what it should be,
      which then causes the p-value to be incorrect.

      The sign of the test statistic is opposite of what it should be due to
      the manner in which a component (q) of the statistic is calculated. For
      example, in the 2SLS vs. 3SLS comparison, q should be calculated as:

         beta_2SLS - beta_3SLS.

      However, PROC MODEL computes q as:

         beta_3SLS - beta_2SLS.

      To circumvent the problem for the aforementioned cases, use the PROBCHI
      function in the DATA step to compute the correct p-value. The correct
      p-value can be calculated as:

         p_value = 1 - probchi(m,df);

      where m is the Hausman statistic computed by PROC MODEL, but modified
      with the opposite sign, and df are the degrees of freedom associated
      with the statistic as provided in the PROC MODEL output.

      Note that negative m statistics result in an invalid argument to the
      PROBCHI function and may be due to an insufficient sample size or model
      misspecification.

    Keywords:
      hausman option fit statement specification test estimators estimation
      methods ols 2sls 3sls sur statistic p-value incorrstat incorrout sign
      hausman option on fit statement computes incorrect results for all
      comparisons except ols vs. 2sls
      008639 8639

    SAS Note Revised On: Thu, 10 Oct 2002

    System Version Reported Version Fixed

    AIX 64 bit 8.2 TS2M0
    AIX 64 bit 9 TSM0
    AIX/6000 7 TSP1
    AIX/6000 8.2 TS2M0
    VM/ESA (CMS) 7 TSP1
    VM/ESA (CMS) 8.2 TS2M0
    Compaq Tru64 UNIX 7 TSP1
    Compaq Tru64 UNIX 8.2 TS2M0
    Compaq Tru64 UNIX 9 TSM0
    HP-UX Operating Systems 7 TSP1
    HP-UX Operating Systems 8.2 TS2M0
    HP-UX Itanium 9 TSM0
    HP-UX 64 bit 8.2 TS2M0
    HP-UX 64 bit 9 TSM0
    Intel ABI 8.2 TS2M0
    Intel Itanium Processor Family(IPF) 9 TSM0
    Linux 8.2 TS2M0
    Linux 9 TSM0
    MIPS ABI 8.2 TS2M0
    OS/390 (MVS) 7 TSP1
    OS/390 (MVS) 8.2 TS2M0
    OS/390 (MVS) 9 TSM0
    IBM OS/2 7 TSP1
    IBM OS/2 8.2 TS2M0
    Solaris 7 TSP1
    Solaris 8.2 TS2M0
    Solaris 64 bit 8.2 TS2M0
    Solaris 64 bit 9 TSM0
    OpenVMS VAX 7 TSP1
    OpenVMS VAX 8.2 TS2M0
    OpenVMS Alpha 7 TSP1
    OpenVMS Alpha 8.2 TS2M0
    OpenVMS Alpha 9 TSM0
    Windows NT 7 TSP1
    Windows NT 8.2 TS2M0
    Windows NT 8.2 TS2M0
    Windows NT 9 TSM0
    Windows 2000 Datacenter Server 8.2 TS2M0
    Windows 2000 Datacenter Server 8.2 TS2M0
    Windows 2000 Datacenter Server 9 TSM0
    Windows 2000 Professional 8.2 TS2M0
    Windows 2000 Professional 8.2 TS2M0
    Windows 2000 Professional 9 TSM0
    Windows 2000 Server and Advanced Server 8.2 TS2M0
    Windows 95 7 TSP1
    Windows 95 8.2 TS2M0
    Windows 98 7 TSP1
    Windows 98 8.2 TS2M0
    Windows ME 8.2 TS2M0
    Windows XP 8.2 TS2M0

    No Fixes Available

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