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st: panel data and hausman test


From   Ekaterina Rashkova <errashko@wustl.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel data and hausman test
Date   Tue, 1 Aug 2006 13:20:23 -0500 (CDT)

Dear all, 

I am trying to decide whether to use fixed or random effects model. In doing 
that I ran both models and then the hausman test. The results fro mthe test 
suggest that fixed effects might be superior (prob>chi sq is smaller than 
0.05) but does that make sense substantively?  I am studying the determinants
of voter turnout and my data consists of  550+ observation and 77 countries. 
Both models (FE and RE) do not provide different signs or significance, but 
the R-sq. stat differs quite a bit (3 vs 29%). Any suggestions and advice is 
welcome. 
This is the hausman test output
:
hausman fixed random

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |     fixed        random       Difference          S.E.
-------------+----------------------------------------------------------------
   stability |    .8612319     .5429065        .3183254         .130613
    PRHetero |    17.92476     16.23667        1.688093         4.88696
         age |   -.1873375    -.1401071       -.0472304        .0171591
         gdp |    .0858235     .0801026        .0057209        .0105805
   mandatory |    8.434539     6.504805        1.929734        3.078364
          pr |   -7.481201    -6.438582       -1.042618        1.307992
         elf |   -18.81114    -21.91486        3.103719        10.77812
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtreg
            B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =       25.94
                Prob>chi2 =      0.0005


I appreciate your help.

Regards,
Ekaterina

--
Ekaterina R. Rashkova
Graduate Student
Department of Political Science
Washington University
Campus Box 1063
One Brookings Drive
St. Louis, MO 63130
(314) 935-5856 (Fax)

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