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Re: st: Fixed Effect Estimation Results


From   wgould@stata.com (William Gould, Stata)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed Effect Estimation Results
Date   Wed, 05 Apr 2006 09:40:06 -0500

To rehash, Joana Quina <joana.statalist@gmail.com> reported,

    1.  She has estimated the parameters of a model using -xtreg, fe- and 
        that the reported correlation between u_i and X_ij*b is .9249.

    2.  She has estimated the parameters of the same same model on
        the same data.  She then performs a Hausman test that fails to 
        reject random effects.

I agree with Mark Schaffer <M.E.Schaffer@hw.ac.uk>, who wrote, 

> I wonder if this is being driven by the "omnibus" nature of your Hausman
> test.  In your application, it has 12 degrees of freedom, one for each
> coefficient.  I can imagine that, loosely speaking, if one coefficient is
> "significantly different" between the 2 specifications, and the other 11 are
> "very similar", then your Hausman test could fail to reject the null that
> the specifications are both consistent.

In Joana's case, one coefficient changed a lot.  The Hausman test is known 
to lack power in such cases.

-- Bill
wgould@stata.com
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