I was wondering if anyone could help me with the following.
After estimating a random-errors panel data model, I want to implement the
Hausman test with the following command:
However, the output I get is:
Estimate of sigma_u = 0, random-effects estimator has degenerated to pooled
OLS and the Wald test from xthausman may not be appropriate. See [R]
for a more general implementation of the Hausman test.
Does anyone know what I should do in order to implement the Hausman test for
random errors in such case? Can I use the “hausman, save” and “hausman”
Thank you very much for your help.
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