Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: hausman + nocons


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: hausman + nocons
Date   Mon, 06 Jun 2005 09:51:07 +0100

Cordula,

Date sent:      	Fri, 3 Jun 2005 11:02:14 +0200 (MEST)
From:           	"Cordula Stolberg" <c.stolberg@gmx.com>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	st: hausman + nocons
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear All,
> 
> I'm trying to do a Hausman test for fixed effects vs random effects
> and both regressions are estimated without a constant. For the fixed
> effects regression, I used "reg" and added the fixed effect manually

Perhaps I am missing something, but I am not sure what you are 
looking to do when you estimate a fixed effects regression with no 
constant.

The slope coefficients in a fixed effects regression are numerically 
equivalent to a regression in which all the variables have been de-
meaned, i.e., centred around their respective sample means.  In such 
a regression, the constant term just drops out.

Or, to put it another way, when you estimate with regress and add the 
fixed effects manually, the estimated constant will depend on which 
observational unit is the benchmark unit, i.e., which is the omitted 
dummy.

The constant term reported by xtreg,fe is basically an average of all 
the fixed effects.  Is the nocons constraint that you want to impose 
that this average estimated constant = 0?

Cheers,
Mark

> and for the random effects regression, I used "xtreg ..., mle nocons".
> 
> I tried to perform the Hausman test by typing
> 
> hausman fixed random, eq(1:2)
> 
> but got the error message "no common coefficients names (eq:coef),
> nothing to test". 
> 
> Is that because I have added the fixed effects manually? And if yes,
> how can I then estimate the fixed effects regression without a
> constant ("nocons" doesn't work)?
> 
> Thanks,
> Cordula
> *
> *   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/

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
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index