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st: RE: robust Hausman test, xtpcse
Caroline,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Caroline Johanna Biehl
> Sent: Tuesday, September 29, 2009 10:34 AM
> To: [email protected]
> Subject: st: robust Hausman test, xtpcse
>
> 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?
If you call -xtoverid- with the cluster option, you will get an overid statistic that is robut to arbitrary within-panel heteroskedasticity and autocorrelation.
Cheers,
Mark
> 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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