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Re: st: Hausman and robustification?


From   Joana Quina <joana.statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hausman and robustification?
Date   Thu, 20 Oct 2005 21:25:06 +0100

Aurora,

I had a similar problem a while ago.  Vince Wiggins provided a very
useful suggestion - an asymptotically equivalent test for random vs.
fixed effects using an augmented regression (Hausman and Taylor,
1981).
You can find the code in this post:
http://www.stata.com/statalist/archive/2005-08/msg00853.html

I suggest you read the thread of this post and any references therein.

I hope this helps,

Best regards,
Joana

On 20/10/05, Aurora Mordonu <Aurora.Mordonu@ugent.be> wrote:
> Hi,
>
>
>
> Using a Hausman test, I would like to decide whether I should take a fixed
> effect or a random effect model. Correcting for hereroskedasticity (I take fe
> robust and re robust) implies that the Hausman test fails to meet the asymptotic
> conditions. So I get the following message:
>
> model fitted on these
>
>                                        data fails to meet the asymptotic
>
>                                        assumptions of the Hausman test;
>
>                                        see suest for a generalized test
>
>
>
>
>
>
>
> Consequently, I try to use suest, but I get the following message:
>
> unable to generate scores for model fixed
>
> suest requires that predict allow the score option
>
> r(322);
>
> Could anybody tell me how to decide on a FE or a RE model in this case? This
> happens only after I correct for heteroskedasticity.
>
> Any hint would be very appreciated!!
>
>
>
> Thank you,
>
> Aurora
>
> --
>
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