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


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: a question on testing for random effect model against fixed effect model
Date   Sat, 15 Jul 2006 14:45:28 -0400

Jian,

Try -xtreg, re sa- instead of -xtreg, re- the additional option takes
care "more carefully" the unbalanced issue using Swamy-Arora method.

Read Method and Formulas in the manual, for version 8:
http://www.stata-press.com/manuals/stata8/xtreg.pdf and version 9:
http://www.stata.com/bookstore/pdf/xtreg.pdf

Rodrigo.


----- Original Message ----- 
From: "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, July 15, 2006 4:19 AM
Subject: Re: st: a question on testing for random effect model against fixed 
effect model


Jian Zhang wrote:

> 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.

[...]

Did you run the following:

 xtreg ..., fe

 est store fixed

 xtreg ..., re

 hausman fixed ., alleqs constant

If not, see if that works. Works for me every time I have to use it.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.

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