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Re: st: Hausman error


From   "John A Karikari" <KarikariJ@GAO.GOV>
To   <statalist@hsphsun2.harvard.edu>, <M.Paul@warwick.ac.uk>
Subject   Re: st: Hausman error
Date   Thu, 31 Oct 2002 10:06:54 -0500

I have also had similar problems using the "xtregar" procedure, as well
as in the "newey2" procedure.  Interested in some suggestions.  Thanks.

>>> M.Paul@warwick.ac.uk 10/31/02 09:39AM >>>
I have encountered the same problem and it appears that this has
something to do with the fixed effects model being a conditional logit.
I would be very interested in knowing myself what the answer is.
 

>>> marie.olson@wayne.edu 10/31/02 02:22PM >>>
I am running a series of analyses using xtlogit.  In order to identify
which method of xtlogit is appropriate, I am using the Hausman test
with
xtlogit, fe run first, then xtlogit, re run second.  On occasion, I
run
into the problem where the Hausman test produces an assumption error
indicating the following:
 Test:  Ho:  difference in coefficients not systematic

                chi2(  1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =    -0.80    chi2<0 ==> model estimated on
these
                                        data fails to meet the
asymptotic
                                        assumptions of the Hausman
test

I was earlier advised to eliminate the cases dropped by the fixed
effects model (due to lack of variation in the dependent variable) for
both analyses, but that did not change the error problem.
Does anyone have any ideas?
Thanks in advance,
Marie

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