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st: XTREG, RE
I am trying to run the Hausman test to compare the estimates from XTREG, FE
to XTREG, RE. But, when I use the command "xthaus" I get the following
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]
for a more general implementation of the Hausman test.
Can someone explain to me why might my sigma_u = 0? Does it indicate that
there is something wrong with the way I've specified my model or that
there's something wrong with the data I'm using (not enough variation?)?
Thanks so much,
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