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Re: st: hausman test


From   Steven Archambault <archstevej@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: hausman test
Date   Thu, 13 Aug 2009 09:24:27 -0600

The positive definite error is concerning. I would suggest using
xtoverid as an alternative test.


   Schaffer, M.E., Stillman, S.  2006.  xtoverid:  Stata module to
calculate tests of overidentifying restrictions after xtreg, xtivreg,
       xtivreg2 and xthtaylor http://ideas.repec.org/c/boc/bocode/s456779.html




On Thu, Aug 13, 2009 at 8:38 AM, Marco Buur<marco.buur@gmail.com> wrote:
> I run hausman test and got Prob>chi2 =      0.1668
> According my undestanding this is confmation that I should use random
> effect model. Am i right ?
>
> Thanks a lot
>
>   xtreg A B C , fe  robust
>   est store fixed
>   xtreg A B C , re  robust
>   hausman fixed
>
>
>    Test:  Ho:  difference in coefficients not systematic
>
>                  chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>                          =       11.67
>                Prob>chi2 =      0.1668
>                (V_b-V_B is not positive definite)
>
>
>
>
>   xtreg Public_cap_ln Prevalence_ln GNI_cap_ln reg4 reg8 Year_* if
> Tag!=1 , fe  robust
>
>   est store fixed
>
>   xtreg Public_cap_ln Prevalence_ln GNI_cap_ln reg4 reg8 Year_* if
> Tag!=1  , re  robust
>
>   hausman fixed
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