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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: "V_b-V_B is not positive definite" / XTOVERID |

Date |
Mon, 1 Sep 2008 15:36:12 +0100 |

Alexandra, Which version of Stata, updated when, are you using? Use the -update- command to find out. I've just checked, and official -xtreg- was modified to work with the -sigmamore- and -sigmaless- options in the Stata 9 ado update of 15 September 2005. Cheers, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Alexandra Guisinger > Sent: Monday, September 01, 2008 3:27 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: "V_b-V_B is not positive definite" / XTOVERID > > I originally sent this message on Friday; but having seen no > evidence that it was distributed and having read the posts > about statalist problems, I am resending. I apologize if this > results in a duplicate message. > > > ---------- Forwarded message ---------- > From: Alexandra Guisinger <Guisinger.1@nd.edu> > Date: Fri, Aug 29, 2008 at 10:48 AM > Subject: "V_b-V_B is not positive definite" / XTOVERID > To: statalist@hsphsun2.harvard.edu > > > I have an unbalanced panel of economic and policy data for > 110 countries over the last three decades. While I was trying > to determine whether a RE specification was reasonable, the > hausman command returned "V_b-V_B is not positive definite" > when provided my stored xtreg, fe and xtreg, re estimates. > Having no success I turned to the artificial regression > approach as implemented by Schaffer (2006) in the xtoverid > command. This led to the discussion below about the > acceptability of unbalanced panels in this framework, but > also raised an additional question: whether I had used the > sigmamore and sigmaless options to overcome the "not positive > definite" obstacle. Using one or the other should guarantee a > positive-definite, but I still received the same warning. > Does anyone have an intuition as to why this would be the > case? Thanks, Alexandra > > ---------- Forwarded message ---------- > From: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> > Date: Thu, Aug 28, 2008 at 4:25 PM > Subject: RE: xtoverid > To: Alexandra Guisinger <Guisinger.1@nd.edu> > > > Hi Alexandra. First question - did you use the "sigmamore" > or "sigmaless" options of -hausman- to guarantee a > positive-definite test stat? I think this is supported by > -hausman- now. > > The unbalancedness doesn't matter. My vague recollection is > that the Hausman version is numerically identical to an > artificial regression version, but you need to use the right > combination of sigmas and artificial regressors. > > In any case, the main reason for using xtoverid is that you > can get, e.g., cluster-robust test statistics - much > preferable to the standard Hausman stat that requires > homoskedasticity. > > If you have a follow-up question, and you think it's > appropriate, can you ask via Statalist? That way others can > benefit from the answer, and/or you might get a faster or > better answer from someone else. > > 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 > http://ideas.repec.org/e/psc51.html > > > > ________________________________ > From: alexandraguisinger@gmail.com > [mailto:alexandraguisinger@gmail.com] On Behalf Of Alexandra Guisinger > Sent: 28 August 2008 19:47 > To: Schaffer, Mark E > Subject: xtoverid > > Dear Prof. Schaffer, > > Thank you for your work on xtoverid. Unfortunately, I have an > annoying follow-up question. I have panel data (annual > average inflation rates, government policies, and economic > data). Stata's hausman command repeatedly returned "V_b-V_B > is not positive definite" when using my stored xtreg, fe and > xtreg, re estimates. For this reason, I would like to use the > artificial regression approach. However, my panel is not > balanced. Does this mean that the results are invalid or does > it simply explain why the overid statistic - di r(j) - is not > identical to di r(chi2) from the Hausman test using the sigma > from the FE estimation? I apologize if I missed an online > discussion of this issue. > > Cordially, > > Alexandra > > ________________________________ > Heriot-Watt University is a Scottish charity registered under > charity number SC000278. > > > > -- > Alexandra Guisinger > Assistant Professor > Political Science > University of Notre Dame > 217 O'Shaughnessy Hall > Notre Dame, IN 46556 > (574) 631-3846 > Guisinger.1@nd.edu > > > > -- > Alexandra Guisinger > Assistant Professor > Political Science > University of Notre Dame > 217 O'Shaughnessy Hall > Notre Dame, IN 46556 > (574) 631-3846 > Guisinger.1@nd.edu > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: "V_b-V_B is not positive definite" / XTOVERID***From:*"Alexandra Guisinger" <Guisinger.1@nd.edu>

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