[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: Re: xthaus
--On Tuesday, August 20, 2002 2:33 -0400 Ron wrote:
Can someone put me straight on the interpretation of the following Hausman
test statistic (Fixed v Random Effects).
Test: Ho: difference in coefficients not systematic
chi2( 10) = (b-B)'[S^(-1)](b-B),
S = (S_fe - S_re)
Prob>chi2 = 0.0000
I take this to mean that fixed effects are not appropriate, since there
are quite large discrepancies between Fixed and Random coefficient
Backwards. The null is that the RE estimator is consistent, implying that X
is orthogonal to u. A rejection implies the RE estimator is inconsistent,
and that the FE estimator--which is relatively inefficient under the null,
but consistent under both H0 and HA--is to be preferred.
* For searches and help try: