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st: Artificial regression approach???


From   "C.VDR KOOIJ GUEVARA" <C.vdrKooijGuevara@uvt.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Artificial regression approach???
Date   Wed, 04 Jul 2007 00:47:05 +0200

Dear all,
When estimating a Hausman test between fixed and random effects models for a sample, I got a negative chi2 value (!) together with the following message:
model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test.

I have read that the suest test does not work with panel data and that an option is to run the test using the artificial regression approach (read it in the Stata files, somebody had already asked this question in 2004). However, since I am a beginner with Stata and econometrics, I was wondering what this artificial regression approach is and how I can implement it to find out whether to use the fixed or random model.

Thanks for the help,

Carine


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