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st: RE: Artificial regression approach???


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Artificial regression approach???
Date   Wed, 4 Jul 2007 09:47:51 +0100

Carine,

xtoverid will do this test for you, including the option of a
heteroskedsatic or cluster-robust test statistic.  -findit xtoverid- and
follow the links.

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> C.VDR KOOIJ GUEVARA
> Sent: 03 July 2007 23:47
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Artificial regression approach???
> 
> 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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