Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
Date   Tue, 20 Nov 2007 18:57:37 -0000

Raoul,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> west--@libero.it
> Sent: 20 November 2007 18:24
> To: statalist
> Subject: st: Hausman test for FE-RE (xtivreg and xtivreg2)
> 
> 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?

Yes and no.  FE is always (under the null, anyway) consistent, whereas
RE may be more efficient but only if the extra orthogonality conditions
hold.  Since you are happy with your results with FE, you could just
stop there.  Morever, xtivreg2 (in its current incarnation - I have an
upgrade planned) will do only FE, and xtivreg with RE in Stata 9 won't
do, say, cluster-robust SEs (though that might have been rectified in
Stata 10).

But if you want to do an FE vs RE test after xtivreg2 (or xtivreg, for
that matter) with FE, it's actually very easy: just use xtoverid,
downloadable from SSC in the usual way.  It takes cluster etc options so
you can get a cluster-robust FE vs RE test, for example.

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: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

> 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
> > 
> >  
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index