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


From   Hobst <tobias.friedli@access.uzh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Hausman test (fe vs. re), use robust SE or not?
Date   Tue, 17 Aug 2010 08:21:37 -0700 (PDT)

Thank you very much Eric for your help, i appreciate it..  i will try it with -xtoverid now.

Best regards
Toby

On 17.08.2010, at 15:15, DE SOUZA Eric-3 [via Statalist] wrote:

> The standard Hausman test supposes that RE is efficient under the null. Robustifying violates that assumption. 
> On the other hand, the fact that robustifying gives different results means that the RE assumptions are not satisfied. 
> Consequently, the use of the test is invalid in your case, robustification or not 
> 
> Wooldridge in his 2002 textbook, Econometric Analysis of Cross Section and Panel Data, has a discussion of this and also of a robust version of the Hausman test (page 288ff). But this would have to be programmed. 
> 
> An alternative is to use xtoverid: -findit xtoverid- programmed by Mark Schaffer and Steven Stillman. 
> 
> 
> Eric de Souza 
> College of Europe 
> Brugge (Bruges) 
> Belgium 
> 
> -----Original Message----- 
> From: [hidden email] [mailto:[hidden email]] On Behalf Of Hobst 
> Sent: 17 August 2010 14:13 
> To: [hidden email] 
> Subject: st: Hausman test (fe vs. re), use robust SE or not? 
> 
> 
> 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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