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st: hausman like test to test FE model against a model with unrestricted covariances


From   Miriam Wüst <miw@sfi.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: hausman like test to test FE model against a model with unrestricted covariances
Date   Thu, 24 Sep 2009 12:46:29 +0200

Hi

I am trying to implement a Hausman test to test my FE model against a model allowing for more unrestricted covariances. I estimate my FE model with xtreg and estimate my alternative (unrestricted) model with the nl feature (I match sample and theoretical covariances by setting up a number of restrictions on the theoretical covariance matrix). The resulting model has more parameters than the FE model, which assumes some of the covariances to be 0 (restricted). Do I simply add those restricted parameters to the FE parameter vector by adding 0's? Am I making any sense to you - please help :)

Miriam



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