Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test


From   Muhammad Billal Malik <m18mlk@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test
Date   Thu, 26 Feb 2009 21:49:13 +0000

I am sorry David, but I have not been taught that in my Basic
Econometric course, will it be easy to understand and run?

On Thu, Feb 26, 2009 at 9:26 PM, David Greenberg <dg4@nyu.edu> wrote:
> With a small number of nations and more years than nations you may be better off using panel-corrected standard errors than the approach you are taking. David Greenberg, Sociology Department, New York University
>
> ----- Original Message -----
> From: Muhammad Billal Malik <m18mlk@googlemail.com>
> Date: Thursday, February 26, 2009 2:20 pm
> Subject: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test
> To: statalist@hsphsun2.harvard.edu
>
>
>> I am having some problems with my econometrics based dissertation. I
>> doing a panel data on 12 sub-saharan african nations, with 6 variables
>> over a 17 year time period.
>>
>> I am using a simple log log model to test to see if one of my
>> variables lx2 (tourism receipts) has a positive affect on GDP. I have
>> run a pooled regression, then fixed effects between and within, and
>> finally a random effects. I have then carried out a Hausman test and
>> achieved a negative value, which has confused me more. I was wondering
>> what do I do, as in what model shall I choose? I have attached my
>> STATA output so you can see if I have gone through the right steps.
>>
>> I will really appreciate if you can help me,
>>
>> Kind Regards,
>>
>> Mohammud
>>
>>
>> Carrying out a pooled data regression
>> . regress ly lx1 lx2 lx3 lx4 lx5 lx6
>>
>>       Source |       SS       df       MS              Number of obs =
>>      57
>> -------------+------------------------------           F(  6,    50) =
>>   52.04
>>        Model |  59.1406489     6  9.85677481           Prob > F      =
>>  0.0000
>>     Residual |  9.47031674    50  .189406335           R-squared     =
>>  0.8620
>> -------------+------------------------------           Adj R-squared =
>>  0.8454
>>        Total |  68.6109656    56  1.22519581           Root MSE      =
>>  .43521
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |    .173204   .0545574     3.17   0.003     .0636223
>> .2827857
>>          lx2 |   .0816157   .0737985     1.11   0.274    -.0666129
>> .2298442
>>          lx3 |   1.207415   .7336368     1.65   0.106    -.2661382
>> 2.680968
>>          lx4 |   .8167941   .0985049     8.29   0.000     .6189412
>> 1.014647
>>          lx5 |   4.014936   1.263028     3.18   0.003     1.478069
>> 6.551803
>>          lx6 |   .2619006   .2371792     1.10   0.275    -.2144879
>> .738289
>>        _cons |   -20.5465   5.498655    -3.74   0.000    -31.59087   -9.502123
>> ------------------------------------------------------------------------------
>>
>> . gen country = region
>> Setting up a panel
>> . tsset country year, yearly
>>        panel variable:  country (strongly balanced)
>>         time variable:  year, 1990 to 2006
>>
>> Carrying out a fixed effects within regression on panel data
>> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, fe
>>
>> Fixed-effects (within) regression               Number of obs      =
>>      57
>> Group variable (i): country                     Number of groups   =
>>      10
>>
>> R-sq:  within  = 0.7640                         Obs per group: min =
>>       2
>>        between = 0.5507                                        avg =
>>     5.7
>>        overall = 0.5374                                        max =
>>       8
>>
>>                                                 F(6,41)            =
>>   22.12
>> corr(u_i, Xb)  = 0.5835                         Prob > F           =
>>  0.0000
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |  -.0075411   .0061342    -1.23   0.226    -.0199293
>> .0048472
>>          lx2 |   .1397473   .0208394     6.71   0.000     .0976612
>> .1818334
>>          lx3 |  -.0471179   .0766965    -0.61   0.542    -.2020095
>> .1077738
>>          lx4 |   .0883038   .0510516     1.73   0.091    -.0147971
>> .1914046
>>          lx5 |   .4423916   .1609951     2.75   0.009     .1172554
>> .7675278
>>          lx6 |  -.0635172   .0380633    -1.67   0.103    -.1403876
>> .0133532
>>        _cons |   2.404044   .8235133     2.92   0.006     .7409252
>> 4.067163
>> -------------+----------------------------------------------------------------
>>      sigma_u |  .95115353
>>      sigma_e |  .03719725
>>          rho |  .99847294   (fraction of variance due to u_i)
>> ------------------------------------------------------------------------------
>> F test that all u_i=0:     F(9, 41) =   755.95               Prob > F
>> = 0.0000
>>
>> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, be
>>
>> Carrying out a fixed effects between regression on panel data
>>
>>
>> Between regression (regression on group means)  Number of obs      =
>>      57
>> Group variable (i): country                     Number of groups   =
>>      10
>>
>> R-sq:  within  = 0.0790                         Obs per group: min =
>>       2
>>        between = 0.9488                                        avg =
>>     5.7
>>        overall = 0.7682                                        max =
>>       8
>>
>>                                                 F(6,3)             =
>>    9.26
>> sd(u_i + avg(e_i.))=  .4441503                  Prob > F           =
>>  0.0477
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |   .5188441   .2315068     2.24   0.111    -.2179138
>> 1.255602
>>          lx2 |  -.0061883   .4172493    -0.01   0.989    -1.334062
>> 1.321685
>>          lx3 |   .1313838   4.684306     0.03   0.979    -14.77617
>> 15.03894
>>          lx4 |   .9508895   .2441334     3.89   0.030      .173948
>> 1.727831
>>          lx5 |   7.621178   7.059213     1.08   0.359    -14.84439
>> 30.08674
>>          lx6 |   -.672947   1.417266    -0.47   0.667    -5.183319
>> 3.837425
>>        _cons |  -26.37744   19.85242    -1.33   0.276     -89.5567
>> 36.80181
>> ------------------------------------------------------------------------------
>>
>> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, re
>>
>> Carrying out a random effects regression on panel data
>>
>>
>> Random-effects GLS regression                   Number of obs      =
>>      57
>> Group variable (i): country                     Number of groups   =
>>      10
>>
>> R-sq:  within  = 0.7556                         Obs per group: min =
>>       2
>>        between = 0.6683                                        avg =
>>     5.7
>>        overall = 0.6327                                        max =
>>       8
>>
>> Random effects u_i ~ Gaussian                   Wald chi2(6)       =
>>   94.90
>> corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
>>  0.0000
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |  -.0065896   .0077505    -0.85   0.395    -.0217803
>> .0086011
>>          lx2 |   .1253869   .0257565     4.87   0.000     .0749051
>> .1758687
>>          lx3 |  -.0363082   .0969763    -0.37   0.708    -.2263783
>> .1537619
>>          lx4 |   .1554292    .061983     2.51   0.012     .0339448
>> .2769135
>>          lx5 |   .4387479   .2031582     2.16   0.031     .0405652
>> .8369306
>>          lx6 |  -.0456517   .0477556    -0.96   0.339    -.1392509
>> .0479475
>>        _cons |   2.241371   1.053202     2.13   0.033     .1771336
>> 4.305609
>> -------------+----------------------------------------------------------------
>>      sigma_u |  .44383293
>>      sigma_e |  .03719725
>>          rho |  .99302502   (fraction of variance due to u_i)
>> ------------------------------------------------------------------------------
>> Fixed-effects (within) regression               Number of obs      =
>>      57
>> Group variable (i): country                     Number of groups   =
>>      10
>>
>> R-sq:  within  = 0.7640                         Obs per group: min =
>>       2
>>        between = 0.5507                                        avg =
>>     5.7
>>        overall = 0.5374                                        max =
>>       8
>>
>>                                                 F(6,41)            =
>>   22.12
>> corr(u_i, Xb)  = 0.5835                         Prob > F           =
>>  0.0000
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |  -.0075411   .0061342    -1.23   0.226    -.0199293
>> .0048472
>>          lx2 |   .1397473   .0208394     6.71   0.000     .0976612
>> .1818334
>>          lx3 |  -.0471179   .0766965    -0.61   0.542    -.2020095
>> .1077738
>>          lx4 |   .0883038   .0510516     1.73   0.091    -.0147971
>> .1914046
>>          lx5 |   .4423916   .1609951     2.75   0.009     .1172554
>> .7675278
>>          lx6 |  -.0635172   .0380633    -1.67   0.103    -.1403876
>> .0133532
>>        _cons |   2.404044   .8235133     2.92   0.006     .7409252
>> 4.067163
>> -------------+----------------------------------------------------------------
>>      sigma_u |  .95115353
>>      sigma_e |  .03719725
>>          rho |  .99847294   (fraction of variance due to u_i)
>> ------------------------------------------------------------------------------
>> F test that all u_i=0:     F(9, 41) =   755.95               Prob > F
>> = 0.0000
>>
>> . estimates store fixed
>>
>> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, re
>>
>> Random-effects GLS regression                   Number of obs      =
>>      57
>> Group variable (i): country                     Number of groups   =
>>      10
>>
>> R-sq:  within  = 0.7556                         Obs per group: min =
>>       2
>>        between = 0.6683                                        avg =
>>     5.7
>>        overall = 0.6327                                        max =
>>       8
>>
>> Random effects u_i ~ Gaussian                   Wald chi2(6)       =
>>   94.90
>> corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
>>  0.0000
>>
>> ------------------------------------------------------------------------------
>>           ly |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>>          lx1 |  -.0065896   .0077505    -0.85   0.395    -.0217803
>> .0086011
>>          lx2 |   .1253869   .0257565     4.87   0.000     .0749051
>> .1758687
>>          lx3 |  -.0363082   .0969763    -0.37   0.708    -.2263783
>> .1537619
>>          lx4 |   .1554292    .061983     2.51   0.012     .0339448
>> .2769135
>>          lx5 |   .4387479   .2031582     2.16   0.031     .0405652
>> .8369306
>>          lx6 |  -.0456517   .0477556    -0.96   0.339    -.1392509
>> .0479475
>>        _cons |   2.241371   1.053202     2.13   0.033     .1771336
>> 4.305609
>> -------------+----------------------------------------------------------------
>>      sigma_u |  .44383293
>>      sigma_e |  .03719725
>>          rho |  .99302502   (fraction of variance due to u_i)
>> ------------------------------------------------------------------------------
>>
>> . estimates store random
>>
>> Carrying out a HAUSMAN TEST
>>
>> . hausman fixed random
>>
>>                  ---- Coefficients ----
>>              |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
>>              |     fixed        random       Difference          S.E.
>> -------------+----------------------------------------------------------------
>>          lx1 |   -.0075411    -.0065896       -.0009515
>> .
>>          lx2 |    .1397473     .1253869        .0143604
>> .
>>          lx3 |   -.0471179    -.0363082       -.0108097
>> .
>>          lx4 |    .0883038     .1554292       -.0671254
>> .
>>          lx5 |    .4423916     .4387479        .0036437
>> .
>>          lx6 |   -.0635172    -.0456517       -.0178655
>> .
>> ------------------------------------------------------------------------------
>>                            b = consistent under Ho and Ha; obtained
>> from xtreg
>>             B = inconsistent under Ha, efficient under Ho; obtained
>> from xtreg
>>
>>     Test:  Ho:  difference in coefficients not systematic
>>
>>                   chi2(6) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>>                           =    -4.12    chi2<0 ==> model fitted on these
>>                                         data fails to meet the asymptotic
>>                                         assumptions of the Hausman test;
>>                                         see suest for a generalized test
>>
>> *
>> *   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/
> *
> *   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/
>



*
*   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