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From |
"Mark Schaffer" <m.e.schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Hausman test |

Date |
Sun, 08 Aug 2004 22:49:55 +0100 |

Andrea, From: "Andrea Molinari" <A.Molinari@sussex.ac.uk> To: <statalist@hsphsun2.harvard.edu> Subject: Re: st: Hausman test Date sent: Thu, 5 Aug 2004 13:55:16 +0100 Send reply to: statalist@hsphsun2.harvard.edu > 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" <dg4@nyu.edu> > To: <statalist@hsphsun2.harvard.edu> > 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 <A.Molinari@sussex.ac.uk> > > 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/

**Follow-Ups**:**Re: st: Hausman test***From:*"Andrea Molinari" <A.Molinari@sussex.ac.uk>

**References**:**Re: st: Hausman test***From:*"Andrea Molinari" <A.Molinari@sussex.ac.uk>

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