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Re: st: Hausman Test Problems


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hausman Test Problems
Date   Mon, 02 May 2011 11:08:33 +0200

Try the userwritten command -xtoverid-. That should do it. After you run your model,

xtreg y x1-x10, re

Just type -xtoverid- afterwards. This words after a robust or cluster robust vce too.

HTH,
John.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________


On 02.05.2011 06:12, Muhammad Anees wrote:
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


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