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st: re: Running the suest command on an unbalanced panel


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Running the suest command on an unbalanced panel
Date   Fri, 17 Apr 2009 13:18:26 -0400

<>
Joachim said

regress var L.var yr*
estimates store OLS, title(The OLS estimator)
xtreg var L.var yr*, fe
estimates store WG, title(The Within Group estimator)
suest WG OLS

It makes no sense to try to do a Hausman test in this context. The OLS estimator is nested within the FE (within group) estimator, so a standard Wald F test of the hypothesis that all u_i = 0 is the test for validity of OLS versus FE. That test is automatically performed by xtreg, fe.

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html

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