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st: robust Hausman test, xtpcse


From   "Caroline Johanna Biehl" <Caroline-Johanna.Biehl@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: robust Hausman test, xtpcse
Date   Tue, 29 Sep 2009 11:33:42 +0200

Hello!
I am rather new to stata and so experiencing some problems when analyzing my data. i want to do a hausman test but it has to be robust and correct for autocorrelation. I found on the list to use -xtoverid, which works with -xtreg, robust and rejected RE. But does it also control for autocorrelation? I read that to use -xtpcse is appropriate for AR1 and heteroscedasticity. Or is there a better option? Unfortunatly, xtpcse does not work with option -,fe. What is better to use then?

Thank you!
Caroline




Here some results:
 quietly xtreg   avcons over65perc averagesize backlogper li mp  formalpercent  totalincome  avp, re robust

. xtoverid

Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust 
Sargan-Hansen statistic  42.990  Chi-sq(5)    P-value = 0.0000


. xtpcse   avcons over65perc averagesize backlogper li mp  formalpercent  totalincomeavp, corr(ar1)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])

Prais-Winsten regression, correlated panels corrected standard errors (PCSEs)

Group variable:   id                            Number of obs      =       164
Time variable:    expenditure                   Number of groups   =        41
Panels:           correlated (balanced)         Obs per group: min =         4
Autocorrelation:  common AR(1)                                 avg =         4
                                                               max =         4
Estimated covariances      =       861          R-squared          =    0.5733
Estimated autocorrelations =         1          Wald chi2(8)       =  40946.47
Estimated coefficients     =         9          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
             |           Panel-corrected
avconsserv~u |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
over65perc~t |  -24.60873   15.55986    -1.58   0.114    -55.10549    5.888026
 averagesize |   22.83173    17.0991     1.34   0.182    -10.68188    56.34535
 backlogperc |  -4.946898   1.223853    -4.04   0.000    -7.345606    -2.54819
     li      |   38.33405   37.61671     1.02   0.308    -35.39334    112.0614
  mp         |  -43.72647   24.84609    -1.76   0.078    -92.42392    4.970983
formalperc~t |   620.8446   284.6725     2.18   0.029     62.89676    1178.792
totalincome  |    .000799   .0000994     8.04   0.000     .0006042    .0009939
avp |  -2.652616   .5862434    -4.52   0.000    -3.801632     -1.5036
       _cons |   54.06299   103.0665     0.52   0.600    -147.9436    256.0696
-------------+----------------------------------------------------------------
         rho |   .6798519
------------------------------------------------------------------------------

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