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re: st: RE: panel data and hausman test


From   Ekaterina Rashkova <errashko@wustl.edu>
To   statalist@hsphsun2.harvard.edu
Subject   re: st: RE: panel data and hausman test
Date   Tue, 1 Aug 2006 15:03:50 -0500 (CDT)

Thanks, Mark. 

> Ekaterina,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > Ekaterina Rashkova
> > Sent: 01 August 2006 19:20
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: panel data and hausman test
> > 
> > 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?
> 
> This means that the coefficients of interest are different in the two
> estimations, in a statistical sense.  Since under the null (both RE and
> FE are consistent) they shouldn't be different, and under the
> alternative (only FE is consistent) they may differ, you have evidence
> that only FE is consistent.
> 
> > 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, 
> 
> You mean significance in the sense of significantly different from zero.
> 
> Another way to put it is that the Hausman test suggests you should use
> your FE results, but with respect to interpreting the coefficients,
> there is no practically signficant (as opposed to statistically
> significant) difference between the RE and FE results.
> 
> > but the R-sq. stat differs quite a bit (3 vs 
> > 29%).
> 
> You probably want to check the Stata manual on within/between/overall
> R2s.
> 
> HTH.
> 
> Cheers,
> Mark
> 
> > 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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> > 
> > 
> 
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--
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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