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From |
Raphael Schoenle <schoenle@Princeton.EDU> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: fixed, random effects |

Date |
Mon, 28 Nov 2005 15:52:09 -0500 |

great, I am so happy that it runs -

one last thing - I try to store the estimates to run a hausman test (the goal of this exercise) but I get this:

. rfregk invest mvalue [aw = kstock]

Random-effects GLS regression

sd(u_company) = 86.28686 Number of obs = 200

sd(e_company_t) = 120.1563 n = 10

sd(e_company_t + u_company) = 147.9289 T = 20

corr(u_company, X) = 0 (assumed) R-sq within = 0.6344

between = 0.9001

overall = 0.8283

chi2( 1) = 378.90

(theta = 0.7027) Prob > chi2 = 0.0000

------------------------------------------------------------------------ ------

invest | Coef. Std. Err. z P>|z| [95% Conf. Interval]

------------- +----------------------------------------------------------------

mvalue | .2393068 .012294 19.47 0.000 .2152111 .2634026

_cons | -123.7867 37.4564 -3.30 0.001 -197.1999 -50.37351

------------------------------------------------------------------------ ------

. est store RE

last estimation results not found, nothing to store

r(301);

is there a way to extract the var-cov as well as coefficient matrix for the hausman test?

many thanks,

-Raphael

On Nov 28, 2005, at 11:05 AM, Scott Merryman wrote:

The problem is a few of lines in -rfregk- are wrapped.

Lines 99 - 108 read:

if "`weight'"!="" {

by `ivar': replace ``i'' = /*

*/

cond(`dup',sum(`w'[_n-1]*``i''[_n-1])/s

um(`w'[_n-1]),``i'')

}

else {

by `ivar': replace ``i'' = /*

*/

cond(`dup',sum(``i''[_n-1])/(_n-1),``i'

')

}

Either replace the -by `ivar' ...- lines so that the entire statement is on

one line or use /// to connect the lines:

if "`weight'"!="" {

by `ivar': replace ``i'' = ///

cond(`dup',sum(`w'[_n-1]*``i''[_n-1]) ///

/sum(`w'[_n-1]),``i'')

}

else {

by `ivar': replace ``i'' = ///

cond(`dup',sum(``i''[_n-1])/(_n-1),``i'')

}

Save the file, -discard-, and try again.

Scott

-----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- statalist@hsphsun2.harvard.edu] On Behalf Of Raphael Schoenle Sent: Monday, November 28, 2005 9:33 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: RE: fixed, random effects Hi Scott, I just tried to run the example you sent me- does it work on your computer? (i have stata se/8.2) I get an error message as below. Thank you very much for the valuable hint! Best, Raphael* * 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/

**References**:**RE: st: RE: fixed, random effects***From:*"Scott Merryman" <smerryman@kc.rr.com>

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