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


From   Jian Zhang <jzh@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: a question on testing for random effect model against fixedeffect model
Date   Sun, 16 Jul 2006 00:35:39 -0700 (PDT)

Thanks, Clive and Rodrigo!

I wonder if there is an alternative test for random effect against fixed
effect or a robust form of hausman test if the assumptions made for
Hausman test do not hold (one of the assumptions for hausman test
is the homoskedasticity and uncorrelation of the idiosyncratic errors.
But this is often invalid.)

Jian


On Sat, 15 Jul 2006, Rodrigo A. Alfaro wrote:

> 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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