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st: RE: hausman test random effects vs fixed effects on panel data


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: hausman test random effects vs fixed effects on panel data
Date   Tue, 21 Aug 2007 15:44:08 +0100

Jorge,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Jorge Rivera
> Sent: Tuesday, August 21, 2007 3:36 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: hausman test random effects vs fixed effects on 
> panel data
> 
> Hello, my name is Jorge I am a Masters student at Louisiana 
> State University. I am right now finishing my thesis, and had 
> a little question. I am working with panel data and I am 
> using both Fixed Effects Model and randome Effects. In my 
> regression I have some variables that are constant over time 
> so I used Hausman's test to verify if random effect would be 
> a better model to use. I am not really sure if it is ok to 
> run hausman's test using robust estimators. A Ph.D student in 
> my department advise me to use sigmamore,the proble is that 
> it will not run with robust estimator. Is it ok for me to go 
> with the resultfrom hausman with robust estimators I thank 
> you beforehand for your time.

You should download and use xtoverid; it will do a robust Hausman-like
test after random effects estimation.  From within Stata,

findit xtoverid

and follow the links to install.

Cheers,
Mark


> Kind Regards,
> 
> Jorge
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