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st: Hausman test probability is 1 after xtreg


From   W.L.Zang@Bradford.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman test probability is 1 after xtreg
Date   Tue, 25 Aug 2009 16:50:34 +0100

Dear all

I include 21 year dummies and run a fixed effect model and a random effect
model, the Hausman test prefers random effect model with probability of 1.

xtreg y x1 x2 dummy1986-dummy2006, fe robust i(country)
estimates store fixed
xtreg y x1 x2 dummy1986-dummy2006, re robust i(country)
hausman fixed

Test:	Ho:	difference in coefficients not systematic
		chi2(31) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 2.37
		Prob>chi2 =      1.0000
		(V_b-V_B is not positive definite)

I guess the probability 1 shows there is something wrong. Does anybody know what
might be the problem?

Any comments are appreciated. Thanks for your help.

Best Wishes,

Linda



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