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st: a question on testing for random effect model against fixed effect model


From   "Jian Zhang" <jzh@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: a question on testing for random effect model against fixed effect model
Date   Fri, 14 Jul 2006 23:52:58 -0700 (PDT)

Dear Statalisters,

I have a question on testing random effect model against fixed effect 
model. Hope that you can help me out. Here is the question;

I am applying random effect model and fixed effect model to an 
unbanlanced panel data (use xtreg, re and xtreg, fe).  To test which 
model is more appropriate, I run a hausman test.  However, the test 
statistics (the chi square) is negative. This makes hausman testing 
impossible, since chi square cann't be negative.  The reason that hausman 
test doesn't work is that the model's error structure does not meet the 
assumptions made for the hausman test.

Then I was thinking about using command "suest".  However, it turns out 
that this command can not be used with "xtreg".

I wonder if there are any other ways of testing random effect models 
against fixed effect models. Thanks.

Best regards,
Jian Zhang 
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