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st: Hausman test (fe vs. re), use robust SE or not?


From   Hobst <tobias.friedli@access.uzh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman test (fe vs. re), use robust SE or not?
Date   Tue, 17 Aug 2010 05:12:48 -0700 (PDT)

Hello

I want to decide between using the fixed effects or the ramdom-effects
model.

I did a hausman test xtreg y x1 x2 x3, fe
estimates store FE
xtreg y x1 x2 x3, re
estimates store RE
hausman FE RE

i get p =0.000, so i should use FE model.

But if add the vce(robust) option to the two xtreg lines above and test it
again i get p=0.91

So my question: Do i need to use the vce(robust) option for the hausman test
or not?

Thank you very much for your help!

Regards
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