[R] hausman Test

[Ryuichi Tamura]

Hi,

Stefan <mastersafi <at> web.de> writes:

> 
> Does anyone know how to do an Hausman test?
> 
> I´ve estimate a modell (some alternatives) with clogit an wanted to test the 
> IIA test (Independence of Irrelevant
> Alternatives) after estimating a multinomial logit model?

My (privately) package includes Hausmann's IIA test. 
It is available from following URL:
http://www.arumat.net/dc_0.1-3.zip
(Windows Binary. If you need other binary or source format, email me)

however you will easily do it: 
1. Estimate 2 Logit models (full model, submodel), obtain coef (b.full, b.sub), 
    covariance(vcov.full, vcov.sub), calculate their differences(db, dvcov) 
2. calculate the statistic: t(db)%*%(dvcov)%*%(db)
3. df of this statistic is qr(dvcov)$rank
4. perform test by 1-pchisq(statistic, df)