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Re: st: RE: Hausman Test Problems


From   Muhammad Anees <aneesmkhattak@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Hausman Test Problems
Date   Mon, 2 May 2011 13:56:29 +0500

Thanks Eric!

It did worked for me. I actually run the regressions without
pretesting it for any overidentification. Can I still follow any
procedure selecting one of the FE and RE using over identified panel
data regressions.

On 2 May 2011 12:44, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote:
> The Hausman test for fixed vs  random is only valid under a strict set of assumptions. These assumptions are clearly not satisfied in your case .
> Use -xtoverid-. Download it from ssc: -ssc install xtoverid- and read the help file first.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Muhammad Anees
> Sent: 02 May 2011 06:12
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman Test Problems
>
> Dear All!
>
> I have run a panel data regression and selection of the random effects or fixed effects using Hausman test. I do not know what is the actual problem with my results. Please could someone help. Why the result for my hausman command results in warning message?
> the complete results are below:
>
>
> . xtreg priceclose eps bookvalue, fe
>
> Fixed-effects (within) regression               Number of obs      =       850
> Group variable: id                              Number of groups   =       170
>
> R-sq:  within  = 0.1160                         Obs per group: min =         5
> between = 0.5266                                        avg =       5.0
> overall = 0.4645                                        max =         5
>
> F(2,678)           =     44.48
> corr(u_i, Xb)  = 0.4836                         Prob > F           =    0.0000
>
>
> priceclose       Coef.   Std. Err.      t    P>t     [95% Conf. Interval]
>
> eps    .7770481   .1966364     3.95   0.000     .3909585    1.163138
> bookvalue    .8653121   .1577343     5.49   0.000     .5556057    1.175018
> _cons    1.001173   .1176642     8.51   0.000     .7701434    1.232204
>
> sigma_u   3.5662704
> sigma_e   1.5953308
> rho   .83325562   (fraction of variance due to u_i)
>
> F test that all u_i=0:     F(169, 678) =    17.34            Prob > F = 0.0000
>
> .
> . estimates store fe
>
> .
> . xtreg priceclose eps bookvalue, re
>
> Random-effects GLS regression                   Number of obs      =       850
> Group variable: id                              Number of groups   =       170
>
> R-sq:  within  = 0.1159                         Obs per group: min =         5
> between = 0.5186                                        avg =       5.0
> overall = 0.4593                                        max =         5
>
> Random effects u_i ~ Gaussian                   Wald chi2(2)       =    297.79
> corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000
>
>
> priceclose       Coef.   Std. Err.      z    P>z     [95% Conf. Interval]
>
> eps    1.113035   .2084971     5.34   0.000     .7043883    1.521682
> bookvalue    1.394302   .1196459    11.65   0.000     1.159801    1.628804
> _cons    .5629992   .2070207     2.72   0.007     .1572462    .9687522
>
> sigma_u   2.1242726
> sigma_e   1.5953308
> rho   .63938518   (fraction of variance due to u_i)
>
>
> .
> . estimates store re
>
> .
> . hausman fe re
>
> ---- Coefficients ----
> (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
> fe           re         Difference          S.E.
>
> eps     .7770481     1.113035       -.3359869               .
> bookvalue     .8653121     1.394302       -.5289903         .102786
>
> b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg
>
> Test:  Ho:  difference in coefficients not systematic
>
> chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> =   -15.59    chi2<0 ==> model fitted on these
> data fails to meet the asymptotic
> assumptions of the Hausman test;
> see suest for a generalized test
>
>
> --
> Muhammad Anees
> MSc in Economics
> The University of Sheffield
> United Kingdom
> *
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>
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>



-- 
Muhammad Anees
MSc in Economics
The University of Sheffield
United Kingdom

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