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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 10:28:40 -0000 |

Correction - my posting below should read "the Sargan-Hansen statistic reported by xtoverid after xtivreg or xtreg is, in fact, an FE vs RE test" Sorry.... --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Schaffer, Mark E > Sent: 21 November 2007 09:44 > To: statalist@hsphsun2.harvard.edu > Subject: RE: st: RE: Hausman test for FE-RE (xtivreg and xtivreg2) > > 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 > > > > > > > > > > > > > > > > > > > > > > * > > > > * 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/ > > > > * > * 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/

**References**:**Re:st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)***From:*west--@libero.it

**RE: st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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