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Re: st: negative hausman statistic after sigmamore


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: negative hausman statistic after sigmamore
Date   Tue, 5 Aug 2008 13:01:03 -0400

Mark--
Try using -xtoverid-
(view http://fmwww.bc.edu/RePEc/bocode/x/xtoverid.hlp
for a preview):

 ssc inst xtoverid, replace
 webuse abdata
 xtreg n w k if year>=1978 & year<=1982, re
 xtoverid
 di r(j)
 est store re
 xtreg n w k if year>=1978 & year<=1982, fe
 est store fe
 hausman fe re, sigmaless
 di r(chi2)


On 8/5/08, Mark Dincecco <m.dincecco@imtlucca.it> wrote:
> Dear all,
>
> I am running xtpmg regressions for mg and pmg. The problem is that
> when I run (hausman mg pmg, sigmamore), even using the (sigmamore)
> option, a negative test statistic is returned.
>
> In a 1984 Econometric article (p. 1226), Hausman and McFadden
> interpret a negative H score as strong evidence of failure to reject
> the null hypothesis that the difference in coefficient values is not
> systematic.
>
> My question is: Is there anything else I can or should try to do to
> produce a positive H statistic? Before I take the negative H score as
> evidence that IIA holds, I would like to be sure that I am not missing
> something obvious.
>
> Thanks very much. Your suggestions are be greatly appreciated.
>
> Sincerely,
> Mark
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