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st: RE: Negative Hausman value?


From   "Gustavo Sanchez" <gsanchez@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Negative Hausman value?
Date   Mon, 16 Oct 2006 14:36:41 -0500

Pavlos C. Symeou [p.symeou@jbs.cam.ac.uk] asked about the Hausman test
produced by -hausman-,


> I attempt to compare between FE and RE transformations in Stata using the
> hausman command, yet the chi^2 for the test is negative (how can a square
be
> negative?).


Mark Schaffer [M.E.Schaffer@hw.ac.uk] diagnosed the problem when he
explained:

> This can happen in finite samples, unless the same estimate of the error
> variance is used throughout the H statistic - see, e.g., Baum et al.
> (2003) in the Stata Journal or the Boston College working paper version.

> This can generally be handled in Stata with the -sigmamore- or
> -sigmaless- options to the -hausman- command.  What I am not sure of is
> whether -xtreg- stores the right sigma internally in the right place
> where -hausman- can make use of it.  I have a vague memory that in
> earlier version of Stata, -xtreg- did not store sigma in a way that was
> compatible with this option, but maybe that's been fixed.  You need to
> check.

Those two options (sigmamore and sigmaless) are actually supported by the
-hausman- command after fitting the model with -xtreg-. They were part of
the features incorporated in Stata 9.1

-- Gustavo
   gsanchez@stata.com




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