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Re: st: ON -XTHAUMAN-


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ON -XTHAUMAN-
Date   Wed, 02 Mar 2005 12:49:29 -0000

shels,

Date sent:      	Wed, 2 Mar 2005 12:22:44 +0000 (GMT)
From:           	shels <shels_vahn@yahoo.com>
Subject:        	st: ON -XTHAUMAN- 
To:             	statalist@hsphsun2.harvard.edu
Send reply to:  	statalist@hsphsun2.harvard.edu

> to listers:
> 
> i am trying to apply -xthausman- to test for the
> random effects assumption but everytime i do that this
> error comes up:
> 
> 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] hausman
> for a more general implementation of the Hausman test.
> r(459);
> 
> 
> i think it has something to do with the fact that
> sigma_u = 0 when i apply the -xtreg, re- to my model?
> what does sigma_u = 0 means anyway?

This is a standard trap that is easy to fall into, and comes up on 
the list from time to time.  Here's a link to an explanation I 
offered once before:

http://www.stata.com/statalist/archive/2004-02/msg00644.html

but there are other (and better) contributions that you can find if 
you search the archives.

Cheers,
Mark

> and what do you
> suggest i should do instead if hausman test wouldnt
> run? how would i know which among fixed and random
> effects is better to use?
> 
> any help would be greatly appreciated!
> thank you v.much!
> -shels-
> 
> =====
> 
> --------------------------------------------------------------------------------------------------------------------------------
> "If I could get my membership fee back, I'd resign from the human race. " 
>    >>>Fred Allen (1894 - 1956)
> 
> 
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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
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