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RE: 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   RE: st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
Date   Wed, 21 Nov 2007 09:43:43 -0000

Damiano,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> west--@libero.it
> Sent: 21 November 2007 06:42
> To: statalist
> Subject: Re:st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
> 
> Dear Mark, thank you very much for your kind reply but I have 
> to confess I am still uncertin when it comes to the actual 
> operative commands. In particular, could you explain ma how a 
> cluster-robust xtoverid of my xtivreg2 estimation represents 
> an Hausman test for F/R effect? What's the specific code to 
> be used to make the comparison?
> 
> If I consider my previous equation, 
> 
> xtivreg2 x1 x2 x3 (x4= x5 x6), robust first fe (which is 
> "robust" in the option...)
> 
> and, as you say, I call for a "xtoverid, robust" or a 
> "xtoverid, cluster(id)", I get only a new estimation of the 
> Sargan-Hansen statistic. I mean, nothing suggest me a FEvsRE 
> Hausman test.

If you look at the online help for xtoverid, you'll find a paragraph
that explains why xtoverid after xtivreg or xtreg is, in fact, an FE vs
RE test.  The help file also has illustrative examples.  All at your
fingertips!

--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


> Could you help me (hopefully, by an a short but 
> illustrative example) with the next steps? Many thanks again.
> 
> Damiano
> 
> 
> ---------- Initial Header -----------
> 
> From      : owner-statalist@hsphsun2.harvard.edu
> To          : statalist@hsphsun2.harvard.edu
> Cc          : 
> Date      : Tue, 20 Nov 2007 18:57:37 -0000
> Subject : st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
> 
> > 
> > > -----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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