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st: hausman and xthausman after panel fe, re

From   Carl Nelson <>
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

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