Andrea,
From: "Andrea Molinari" <[email protected]>
To: <[email protected]>
Subject: Re: st: Hausman test
Date sent: Thu, 5 Aug 2004 13:55:16 +0100
Send reply to: [email protected]
> Thanks! That did the trick...
Careful! This is the right thing to do only if you were doing it
backwards (=wrongly) to begin with. Stata needs to know which is the
efficient model and which is the inefficient-but-consistent model.
Reversing the order is equivalent to telling it to switch them
around, but if the order is backwards then you have a useless
(=wrong) test statistic.
The root of the problem is that to guarantee a positive test
statistic, you need to use the same estimate of the error variance
throughout the calculation - either the random effects estimate or
the fixed effects estimate. Stata's -hausman- command lets you do
this with the -sigmamore- or -sigmaless- options, but the last time I
checked, xtreg doesn't leave the right information in the estimation
results that would enable these options to work. Without these
options, you get a statistic that is still asymptotically correct,
but prone to occasional misbehaviour in finite samples.
I don't know about getting suest to work with panels. Your other
option is to run the test using the artificial regression approach.
This is guaranteed to generate a positive test statistic - I think
Davidson and MacKinnon (1993) describe how to do it.
Hope this helps.
--Mark
> Andrea
>
> ----- Original Message -----
> From: "David Greenberg" <[email protected]>
> To: <[email protected]>
> Sent: Wednesday, August 04, 2004 11:59 PM
> Subject: Re: st: Hausman test
>
>
> > Try doing the estimation of the two models in the opposite order. David
> Greenberg, Sociology Dept., New York University
> >
> > ----- Original Message -----
> > From: Andrea Molinari <[email protected]>
> > Date: Wednesday, August 4, 2004 6:22 am
> > Subject: st: Hausman test
> >
> > > Dear all,
> > > When estimating a Hausman test between fixed and random effects
> > > models for a
> > > subsample, I got a negative chi2 value (!) together with the following
> > > message:
> > >
> > > model fitted on these data fails to meet the asymptotic
> > > assumptions of the
> > > Hausman test; see suest for a generalized test
> > >
> > >
> > > but I could not implement suest for panel. Does anyone have a hint
> > > on how to
> > > do this?
> > >
> > >
> > >
> > > Thanks!
> > >
> > >
> > > Andrea
> > >
> > >
> > >
> > >
> > > *
> > > * 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/
> > >
> >
> > *
> > * 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/
> >
>
>
> *
> * 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 E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
* 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/
