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From |
Muhammad Anees <aneesmkhattak@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 2 May 2011 15:56:05 +0500 |

Thanks, Mark, John and Eric for your all time guidance on the issue. Let me review the paper and do more practice before concluding this discussion. I would be discussing more questions if i had after the review and practicing. Thanks again On 2 May 2011 15:34, John Antonakis <John.Antonakis@unil.ch> wrote: > Right; thanks for the clarification, Mark. Maybe I was not clear enough, but > if one model is nested in the other, then one makes a restriction (that the > L2 predictors do not correlate with the constant effect), which gives the > overid interpretation. The reason why I talked about this is that I thought > that Muhammad was thinking that he need to have instruments (where he said > that he did not "pretest it for overidentification"). > > BTW, the paper I cited below is a real eye opener because it show just how > many restrictions are in these models (for those who are interested): > > 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 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/ >>> >> > * > * 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/ > -- 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/

**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>

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

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