[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Salvati, Jean" <JSalvati@imf.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Hausman and robustification? |

Date |
Thu, 20 Oct 2005 16:59:11 -0400 |

I wrote an implementation of the regression-based test described on pages 290-291 of Wooldridge (2002). Basically, the program estimates equation (10.79) on page 290, and then tests the hypothesis that the coefficients of the de-meaned variables (or a subset of the de-meaned variables) are null. This is the procedure suggested by Wooldridge on page 291, paragraph 2. I haven't read the post by Vince Wiggins yest, so I don't know we implemented the same test. If you would like to try the ado, send me an email at jsalvati@imf.org. However, I must point out that I cannot guarantee that I will respond to support requests. Jean Salvati Reference: Jeffrey M. Wooldridge (2002), "Econometric Analysis of Cross Section and Panel Data", MIT Press. > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Joana Quina > Sent: Thursday, October 20, 2005 4:25 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Hausman and robustification? > > 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 > > > > -- > > > > * > > * 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/ > > > > * > * 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/ > * * 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/

- Prev by Date:
**st: Re: r(603) error** - Next by Date:
**Re:st: r(603) error** - Previous by thread:
**Re: st: Hausman and robustification?** - Next by thread:
**st: RE: question on datatypes** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |