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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 02 May 2011 12:34:11 +0200 |

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. Best, J. __________________________________________ 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 11:45, Schaffer, Mark E wrote:

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 overidentified paneldata regressions. On 2 May 2011 12:44, DE SOUZAEric<eric.de_souza@coleurope.eu> wrote:The Hausman test for fixed vs random is only valid undera strict set of assumptions. These assumptions are clearly not satisfied in your case .Use -xtoverid-. Download it from ssc: -ssc installxtoverid- 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 OfMuhammadAnees 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 therandom 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 ofobs = 850Group variable: id Number ofgroups = 170R-sq: within = 0.1160 Obs pergroup: min = 5between = 0.5266avg = 5.0overall = 0.4645max = 5F(2,678) = 44.48 corr(u_i, Xb) = 0.4836 Prob> F= 0.0000priceclose Coef. Std. Err. t P>t [95%Conf. Interval]eps .7770481 .1966364 3.95 0.000 .39095851.163138bookvalue .8653121 .1577343 5.49 0.000.5556057 1.175018_cons 1.001173 .1176642 8.51 0.000 .77014341.232204sigma_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) = 17.34Prob> F = 0.0000. . estimates store fe . . xtreg priceclose eps bookvalue, re Random-effects GLS regression Number ofobs = 850Group variable: id Number ofgroups = 170R-sq: within = 0.1159 Obs pergroup: min = 5between = 0.5186avg = 5.0overall = 0.4593max = 5Random effects u_i ~ Gaussian Waldchi2(2) = 297.79corr(u_i, X) = 0 (assumed) Prob>chi2 = 0.0000priceclose Coef. Std. Err. z P>z [95%Conf. Interval]eps 1.113035 .2084971 5.34 0.000 .70438831.521682bookvalue 1.394302 .1196459 11.65 0.0001.159801 1.628804_cons .5629992 .2070207 2.72 0.007 .1572462.9687522sigma_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 =inconsistentunder 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/

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

**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>

**RE: st: RE: Hausman Test Problems***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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