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Re: st: xthausman


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, M Silva <mdsrale@hotmail.com>
Subject   Re: st: xthausman
Date   Wed, 26 Feb 2003 23:32:45 +0000 (GMT)

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.

--Mark

Quoting M Silva <mdsrale@hotmail.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
> pooled
> OLS and the Wald test from xthausman may not be appropriate.  See
> [R] 
> hausman
> for a more general implementation of the Hausman test.
> r(459);
> 
> 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” 
> commends?
> 
> Thank you very much for your help.
> 
> M. Silva
> 
> 
> 
> 
> 
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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