[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: xthausman
The reason you can't test for the appropriateness of random effects is
because you haven't actually estimated a random effects model.
The Stata message that sigma_u=0 is telling you that with your particular
dataset and model, when you try to estimate a random effects model, what
you end up with is simply OLS. Try estimating the model with -regress- and
you'll see you get the same results.
... and since you haven't estimated a random effects model, you can't do a
Hausman test for it.
Hope this helps.
Quoting M Silva <email@example.com>:
> 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:
> . xthausman
> However, the output I get is:
> Estimate of sigma_u = 0, random-effects estimator has degenerated to
> OLS and the Wald test from xthausman may not be appropriate. See
> 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
> Thank you very much for your help.
> M. Silva
> Stay in touch with absent friends - get MSN Messenger
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
* For searches and help try: