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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
> > > 
> > >  
> > 
> > 
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