Schreiber, Sven - In: Journal of Economics and Statistics (Jahrbuecher fuer … 228 (2008) 4, pp. 394-405
We show that under the alternative hypothesis the Hausman chi-square test statistic can be negative not only in small samples but even asymptotically. Therefore in large samples such a result is only compatible with the alternative and should be interpreted accordingly. Applying a known insight...