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st: Hausman test for FE-RE (xtivreg and xtivreg2)


From   west--@libero.it
To   "statalist" <statalist@hsphsun2.harvard.edu>
Subject   st: Hausman test for FE-RE (xtivreg and xtivreg2)
Date   Tue, 20 Nov 2007 19:23:53 +0100

I am running (by Stata 9) a panel regression and I have used xtivreg2 with "fe" option, in order to estimate an equation, where one variable is endogenous. The results seem good, the p-values are excellent and the Hansen J statistic is reassuring. However, I have been said that to be sure to correctly use xtivreg2 I need to perform an Hausman test for FE vs RE first, using xtivreg. Is this objection correct? If yes, I don't know the correct procedure to construct this kind of test. To be clear, this was the equation I estimated:

xtivreg2 x1 x2 x3 (x4= x5 x6), robust first fe

how could I perform an Hausman test for FE-RE? 
An illustrative example would be of great help. Thank you in advance.

D.






>  
> 
> Thanks,
> 
>  
> 
> Raoul
> 
>  


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