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Re: st: hausman test


From   Marco Buur <marco.buur@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: hausman test
Date   Fri, 14 Aug 2009 14:49:43 +0200

Thanks it works!!! I assume that based on this Sargan-Hansen test
below I need to reject RE model
is it the same Ho like in Hausman test?
Thank you in advance

xtreg A B C , fe  robust
est store fixed
xtreg A B C , re  robust
xtoverid, robust

Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust
Sargan-Hansen statistic  25.772  Chi-sq(8)    P-value = 0.0011


On Fri, Aug 14, 2009 at 1:51 PM, Martin Weiss<martin.weiss1@gmx.de> wrote:
>
> <>
>
> 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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>>
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