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st: RE: Re: SUEST and Xtreg


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   st: RE: Re: SUEST and Xtreg
Date   Thu, 6 Sep 2007 17:06:48 +0100

Marta,

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> [email protected]
> Sent: 06 September 2007 16:51
> To: [email protected]
> Subject: st: Re: SUEST and Xtreg
> 
> Hi all
> 
> I ran a Hausman test to test the null hypothesis that the 
> extra orthogonality conditions imposed by the random-effects 
> estimator with respect to the fixed-effects estimator are 
> valid. However, I can't reach a conclusion because the chi2 
> of this test turn out to be negative, because "model fitted 
> on these data fails to meet the asymptotic assumptions of the 
> Hausman test". Stata suggest to use the -suest- command.

-xtoverid-, available via SSC in the usual way, will do Hausman and
robust Hausman-like tests for FE vs. RE models.  The methods used
guarantee positive test statistics.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes

      
>                                
> 
> The command I'm using is the following
> 
> . quietly xtreg lny lne lnk, re 
> 
> . estimates store ran
> 
> . quietly reg lny lne lnk s2 s3 s4 s5 s6 s7 s8 s9 s10
> 
> . estimates store fix
> 
> . suest fix ran, cluster(sector)
> 
> . test [fix1=ran1] [fix2=ran2]
> 
> But, in the same way as Stata is unable to generate scores 
> for a model using the command -xtreg, fe-, it is unable to 
> generate them for -xtreg, re-. Do you know which approach 
> should I follow to successfully run this test? 
> 
> Thanks.
> 
> Marta.
> 
> 
> 
> ________________________________
> 
> 
> From	   "Scott Merryman" <[email protected]>	 
> To	   <[email protected]>	 
> Subject	   st: Re: SUEST and Xtreg.	 
> Date	   Thu, 5 Feb 2004 17:12:11 -0600	
> ________________________________
> 
> -suest- requires that the estimation commands have a score 
> option, which -xtreg,
> fe- does not. However, you could use -regress- with a set of 
> dummy variables.
> 
> Scott
> 
> ----- Original Message -----
> From: "Martha Martinez-Martinez" <[email protected]>
> To: <[email protected]>
> Sent: Thursday, February 05, 2004 10:30 AM
> Subject: st: SUEST and Xtreg.
> 
> 
> > Is it possible to use suest to test cross-model hypothesis on fixed
> > effects models (xtreg, fe)?
> 
> 
> Please access the attached hyperlink for an important 
> electronic communications disclaimer: 
> http://www.lse.ac.uk/collections/secretariat/legal/disclaimer.htm
> 
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