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

st: hausman and xthausman after panel fe, re


From   Carl Nelson <[email protected]>
To   [email protected]
Subject   st: hausman and xthausman after panel fe, re
Date   Mon, 22 Aug 2005 20:22:02 -0500

This question concerns problem 10.9 in Jeff Wooldridge's book Econometric
Analysis of Cross Section and Panel Data. In this exercise, which I gave to
some students in a course this summer, using Cornwell.dat students are
asked to estimate xtreg, fe and xtreg, re and perform the hausman test.
Using the old xthausman syntax the result is a significant test statistic
(approximately 121 for a chisquared(11) rv). Using the newer hausman syntax
the result is a negative chisquared statistic and warning about violation
of assumptions.
I constructed the statistic from the saved results e(b) and e(V) and I got
the same result as the newer hausman syntax.
I tried to look for the difference in the xthausman ado file but I couldn't
see an obvious difference.

I would appreciate any help identifying the source of the significant
difference between the xthausman and hausman results in this instance.

Carl Nelson
UIUC

*
*   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 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index