Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Negative Hausman


From   "I. HESSELINK" <I.Hesselink@uvt.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Negative Hausman
Date   Wed, 24 Sep 2008 21:37:18 +0200

Dear Stata-users,

For my master thesis I am analyzing a sample of panel data (y = whether a company diversified in year t, x = set of company characteristics). Because of the binary dependent variable I use xtlogit, and now want to apply a Hausman test to see whether fixed or random effects models are appropriate. 

xtlogit y x, fe
est store fixed
xtlogit y x, re
est store random
hausman fixed random

In some of the tests this delivers a negative Chi-square with the following note:

"Chi2<0 ==> model fitted on these data fails to meet the asymptotic   assumptions of the Hausman test; see suest for a generalized test"

In earlier questions I found in the Statlist archive the options 'sigmamore' or 'sigmaless' serve to solve this problem, however, in combination with the xtlogit command this delivers the following message:

"Estimators do not save e(sigma) or e(rmse), sigma option not allowed" 

Is any of you familiar with this problem, and if yes, could you tell me whether there is another approach to test for fixed versus random effects or get a positive Hausman outcome? Or do you think this is a case in which I can interpret a negative Hausman score as evidence of failure to reject the null hypothesis (as suggested by Hausman & McFadden, 1984). Please let me know, your help is greatly appreciated!

Kindest regards,

Iris Hesselink
I.Hesselink@uvt.nl






*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index