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st: RE: Hausman test for clustered random vs. fixed effects


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Hausman test for clustered random vs. fixed effects
Date   Fri, 24 Sep 2010 11:29:09 +0100

Firew,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Firew Woldeyes
> Sent: 24 September 2010 10:27
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman test for clustered random vs. fixed effects
> 
> Dear Mark,
> I am planning to use the hausman-like test from the artifical 
> regression written by Vince Wiggins on Fri, 26 Aug 2005. The 
> reason is when I make the test for a subset of coefficients 
> (that is when I exclude time dummies from the test), random 
> effect model is not rejected. Is the procedure solely based 
> on Arellano's 1993 paper "On the testing of correlated 
> effects with panel data"? Is it sufficient to site only this 
> paper for using the test proposed?

If you check out the help file for xtoverid - downloadable from ssc in
the usual way - you can find references to papers by Arellano and
Wooldridge that discuss the test.

It wouldn't be too hard to extend xtoverid to cover tests of subsets of
coefficients ... we probably should do this.

--Mark

> Best,
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