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st: pretest to choose among fixed, random effects and hausman-taylor


From   John Bunge <jota.be@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: pretest to choose among fixed, random effects and hausman-taylor
Date   Tue, 20 May 2008 16:33:16 +0200

Dear all,

the following refers to Baltagi, Bresson and Pirotte (2003), "Fixed effects, random effects or Hausman–Taylor? A pretest estimator", Economics Letters 79 (3), pp. 361-369

The test proposed in this article, is it implemented in Stata? Where can I find the ado-file?

Or can I just perform it by:

(i) xtreg a b c, fe
(ii) est store f
(iii) xthtaylor a b c, endog(c)
(iv) hausman f

?

In analogy to the hausman test between FE and RE, being able to reject the null would be in favour of employing FE instead of HT?

Thanks in advance...
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