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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 <firstname.lastname@example.org>:
> 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
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> * 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
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