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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Hausman Test Problems |

Date |
Mon, 2 May 2011 10:45:52 +0100 |

John, Muhammad, The test of fixed vs. random effects (also) has an overid test interpretation. The FE estimator uses the moment conditions E(x_it*e_it)=0. The RE estimator uses, in addition, the moment conditions E(x_it*u_i)=0. That's what makes it overidentified and an overid test possible. There is a short discussion and some references in the xtoverid help file. Cheers, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > John Antonakis > Sent: 02 May 2011 10:11 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Hausman Test Problems > > You don't need to be overidentified to use xtoverid. The > command in fact tests a constraint that is made, which nests > the random and fixed-effects models (i.e., the constraint > that is made to the random effects model is that level 2 > regressors do not correate with uj). > > To get a better handle on what types of constraints are made > in these types of models see: > > Bollen, K. A., & Brand, J. E. (2010). A General Panel Model > with Random and Fixed Effects A Structural Equations > Approach. Social Forces, 89(1), 1-34. > > 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 10:56, Muhammad Anees wrote: > > 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 > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > >> > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > >> > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Hausman Test Problems***From:*John Antonakis <John.Antonakis@unil.ch>

**References**:**st: Hausman Test Problems***From:*Muhammad Anees <aneesmkhattak@gmail.com>

**st: RE: Hausman Test Problems***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**Re: st: RE: Hausman Test Problems***From:*Muhammad Anees <aneesmkhattak@gmail.com>

**Re: st: RE: Hausman Test Problems***From:*John Antonakis <John.Antonakis@unil.ch>

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