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> > > -----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/ > * * 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/

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