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st: hausman vs suest


From   sabc@uevora.pt
To   statalist@hsphsun2.harvard.edu
Subject   st: hausman vs suest
Date   Tue, 9 Aug 2005 13:56:59 +0100 (WEST)

Dear all,

When I perform a hausman test after using xtivreg, fe and xtivreg, re I
get a message in the end which says "V_b-V_B is not positive definite":


. hausman fe re

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |       fe           re         Difference          S.E.
-------------+----------------------------------------------------------------
 racionettax |    .1282918     .1374477       -.0091559               .
         ilt |    .0442928     .1231377       -.0788449        .0198359
        lags |       .7338     .8924503       -.1586503        .0199258
   outputgap |    .1484418     .0675944        .0808473               .
     racio_g |    -.580745    -.2084519       -.3722931        .0463222
------------------------------------------------------------------------------
                         b = consistent under Ho and Ha; obtained from
xtivreg
          B = inconsistent under Ha, efficient under Ho; obtained from
xtivreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =       72.33
                Prob>chi2 =      0.0000
                (V_b-V_B is not positive definite)


There is a remark in the stata help for hausman which says:
Hausman's test is based on estimating the variance var(b-B) of the
difference of the estimators by the difference var(b)-var(B) of the
variances.  Under the assumptions (1) and (3), var(b)-var(B) is a
consistent estimator of var(b-B), but it is not necessarily positive
definite "in finite samples", i.e., in your application.  If this is the
case, the Hausman test is undefined.  Unfortunately, this is not a rare
event.  Stata supports a generalized Hausman test that overcomes both of
these problems.  See suest for details.

Apparently, I should use suest but I cannot perform it. Can anyone help me?

Best regards,
Sofia.


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