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Re: st: Question about using the Hausman test after XTREG,FE and XTREG, RE


From   Jeannette Wicks-Lim <janetlim@econs.umass.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Question about using the Hausman test after XTREG,FE and XTREG, RE
Date   Tue, 28 Sep 2004 10:34:28 -0400

Thanks, Stas for your help. It is very helpful to hear about others' encounters with such situations.
Take care,
Jeannette
----- Original Message ----- From: "Stas Kolenikov" <skolenik@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, September 25, 2004 5:02 PM
Subject: Re: st: Question about using the Hausman test after XTREG, FE and XTREG, RE



oh yes, the worst case I had was when there was a circular rejection
of hypotheses: -xttest0- was showing that the OLS and GLS are
significantly different; -xthausman- was telling me that RE should be
rejected in favor of FE, and -xtreg, fe- was telling me that
sigma_u=0. So yes, this happens.

--
Stas Kolenikov
http://stas.kolenikov.name
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