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From |
"vukasinm" <vukasinm@drenik.net> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: matsize & single exogeneity & autocorrel. in panel |

Date |
Tue, 10 Aug 2004 23:14:31 +0200 |

Hello Statalisters, I would be very grateful if someone could answer next questions. First, I was trying to estimate panel data model in Intercooled Stata 7.0, with N=930 and T=6, i.e. total 5580 observations and 12 variables, but without any success. Is the only solution working in Stata/SE 8.0 where the upper limit is 11000? Second, since I suspect autocorrelation and single exogeneity problem in the model (some regressors are correlated with individual effects), my question is: what should I apply first - test for single exogeneity (Hausman test: fixed effect (FE) v.s. random effect (RE)model) or test for autocorrelation in RE model? I thought to apply first Hausman specification test, because if there is singly exogeneity problem in RE model, then AR(1) test is based on biased and inconsistent estimates and residuals later. But, on the other hand, if the remainder disturbances u_it follow an AR(1) process, and I test single exogeneity first, Hausman test and Hausman-Taylor (HT) over-identification test are in fact not valid. Any suggestions? Third, I am not sure if I made mistake in defining HT set of instruments A=[QX_1, PX_1, QX_2, Z_1], since following result of HT over-identification test (FE AR(1) v.s HT AR(1)) is strange to me: .xtreg lexAR ldistAR combordAR v97AR v98AR v01AR euAR ceftaAR croAR bjrAR lpopexAR lpopimAR lgdpimAR lgdpexAR, fe .hausman,save . xtivreg lexAR v97AR v98AR v01AR euAR ceftaAR croAR bjrAR (ldistAR lpopexAR lpopimAR lgdpimAR lgdpexAR = combordAR QlpopiAR1 QlpopeAR1 QlgdpimAR1 QlgdpexAR1), re .hausman Test: Ho: difference in coefficients not systematic chi2( 12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -2.74 chi2<0 ==> model estimated on these data fails to meet the asymptotic assumptions of the Hausman test. Thanks a lot in advance for all the suggestions. Best regards, Radmila * * 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/

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