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RE: st: hausman test


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: hausman test
Date   Thu, 13 Aug 2009 16:59:19 +0100

Marco,

-hausman- isn't valid with -robust- (see Hayashi, "Econometric", 2000, p. 234, note 18).

Steve's advice to use -xtoverid- is the right way to go.  It implements a Hausman-like GMM test that extends to robust VCV estimators.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Steven Archambault
> Sent: 13 August 2009 16:24
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: hausman test
> 
> 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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> >
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