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AW: st: hausman test


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: hausman test
Date   Fri, 14 Aug 2009 13:51:49 +0200

<> 

The -which- output should be:



. which ivreg2
c:\ado\plus\i\ivreg2.ado
*! ivreg2 2.2.09  17jul2008
*! authors cfb & mes
*! see end of file for version comments


So go to your -c:\ado\plus\i\- folder, kill everything beginning with
-ivreg2- , and then type -ssc inst ivreg2- in Stata. After that, -which-
again and see whether your output matches mine...



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Marco Buur
Gesendet: Freitag, 14. August 2009 13:48
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: hausman test

Dear Martin

I have installed it from :

SJ-7-4  st0030_3  . . . .  Enhanced routines for IV/GMM estimation and
testing
        . . . . . . . . . . . . .  C. F. Baum, M. E. Schaffer, and S.
Stillman
        (help ivactest, ivendog, ivhettest, ivreg2, ivreset,
        overid, ranktest if installed)
        Q4/07   SJ 7(4):465--506
        extension of IV and GMM estimation addressing hetero-
        skedasticity- and autocorrelation-consistent standard
        errors, weak instruments, LIML and k-class estimation,
        tests for endogeneity and Ramsey's regression
        specification-error test, and autocorrelation tests
        for IV estimates and panel-data IV estimates



If i run  ssc inst ivreg2 i got

*****************ssc inst ivreg2**********************
checking ivreg2 consistency and verifying not already installed...

the following files already exist and are different:
    c:\ado\plus\i\ivreg2.ado
    c:\ado\plus\i\ivreg2.hlp
    c:\ado\plus\i\ivreg2_p.ado

no files installed or copied
(no action taken)
r(602);

****************which ivreg2**************


c:\ado\plus\i\ivreg2.ado
*! ivreg2 2.0.04  14Apr2004
*! authors cfb & mes
*! cloned from official ivreg version 5.0.9  19Dec2001


Please advice

On Fri, Aug 14, 2009 at 12:21 PM, Martin Weiss<martin.weiss1@gmx.de> wrote:
>
> <>
>
> How did you install the files? Through the usual -ssc inst ivreg2-. If so,
> you should get the latest version. What does -which ivreg2- give you?
>
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Marco Buur
> Gesendet: Freitag, 14. August 2009 12:19
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: hausman test
>
> Thanks Mark and Steve
>
> I tried to use
>
>>   xtreg A B C , fe  robust
>>   est store fixed
>>   xtreg A B C , re  robust
>>   xtoverid
>
> but Stata says "Error - must have ivreg2 version 2.1.15 or greater
> installed"
> I installed ivreg2 it but there is no any progress.
> Please advice
>
>
>
>
> On Thu, Aug 13, 2009 at 4:38 PM, 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)
>>
>>
>>
>
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