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Re: st: RE: Hausman Test Problems
From
Muhammad Anees <[email protected]>
To
[email protected]
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 <[email protected]> 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: [email protected] [mailto:[email protected]] On Behalf Of Muhammad Anees
> Sent: 02 May 2011 06:12
> To: [email protected]
> 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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