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Re: st: hausman and xthausman after panel fe, re


From   vwiggins@stata.com (Vince Wiggins, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: hausman and xthausman after panel fe, re
Date   Thu, 25 Aug 2005 17:50:33 -0500

Alice Dobson <alice_dobson@hotmail.com> asked on the list,

> I have a similar problem. I obtain this output after using Hausman.
> Since, suest is unavailable after xtreg, can I simply go ahead and
> present the results from xtreg, re?
>
> . hausman fixed random
> [...]
>     Test:  Ho:  difference in coefficients not systematic
>                   chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>                           =    -6.22    chi2<0 ==> model fitted on these
>                                         data fails to meet the asymptotic
>                                         assumptions of the Hausman test;
>                                         see suest for a generalized test

I don't really have much to add beyond my earlier long-winded post and what
is said in [R] hausman about negative test statistics,

	"In this case the chi-square is actually negative.  We might 
	 interpret this as strong evidence that we cannot reject
	 the null hypothesis."

If Alice really wants a non-negative test statistic (and who doesn't) she
might consider one of the artificial regressions discussed in prior posts.

 
-- Vince
   vwiggins@stata.com

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