Panel est: Hausman chi**2 positive, but V_b-V_B not positive definite
Date
Fri, 31 Dec 2004 11:08:00 +0100
Dear all,
I use the Hausman-Taylor IV estimator to account for possible
correlation between time-invariant regressors and the unobservables in
my panel data.
Running RE too and applying the Hausman test, I get a large positive
Chi**2 which suggests for rejection of the Null, but I also get a note
that V_b-V_B is not positive definite.
There are threads on negative chi squares due to finite sample sizes. Is
this a similar problem here? And how to deal with this? Do I just ignore
it or is there a problem the way I use the test? To my knowledge, HT-IV
is consistent both under Ho and Ha, so I do the following:
xtreg mymodel, re
est store re
xthtaylor mymodel
est store htiv
hausman htiv re
