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Re: st: Hausman test


From   "Andrea Molinari" <A.Molinari@sussex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Hausman test
Date   Mon, 9 Aug 2004 10:14:55 +0100

Mark,
Thanks very much for your suggestion. After thinking about it, I realised
that testing the (maybe) inconsistent model vs. the consistent one was not
the right way of doing it.
I'll look for the artificial regression, then!
Thanks again
Andrea
----- Original Message ----- 
From: "Mark Schaffer" <m.e.schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, August 08, 2004 10:49 PM
Subject: Re: st: Hausman test


> 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
> > > >
> > > >
> > > >
> > > >
> > > > *
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> > >
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>
> 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
>
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