Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: RE: Question about Hausman test results: V_b - V_B not positive definite


From   Fabio Zona <fabio.zona@unibocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Question about Hausman test results: V_b - V_B not positive definite
Date   Sun, 15 May 2011 18:28:56 +0200 (CEST)

xtoverid works only after xtreg, xtivreg, xtivreg2 or xthtaylor
what command should one use when dealing with xtlogit?






----- Messaggio originale -----
Da: "DE SOUZA Eric" <eric.de_souza@coleurope.eu>
A: statalist@hsphsun2.harvard.edu
Inviato: Sabato, 14 maggio 2011 13:10:11 GMT +01:00 Amsterdam/Berlino/Berna/Roma/Stoccolma/Vienna
Oggetto: st: RE: Question about Hausman test results: V_b - V_B not positive definite

The standard Hausman test for fixed vs random effects is valid under very strict conditions (see Wooldridge's textbook, for instance). Clearly these conditions are not satisfied in your case.

Download the user written routine -xtoverid- and use that instead:
-ssc install xtoverid-
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 Christina SAKALI
Sent: 14 May 2011 12:21
To: statalist
Subject: st: Question about Hausman test results: V_b - V_B not positive definite

Hello all,

I am running a panel regression with 121 observations. My question regards the choice of fixed effects versus random effects specification.

I carried out a hausman test and the results suggest that I cannot reject the Ho (Prob > 0.05) which I believe it means that the random effects model is preferred for my data.

However I also get the message that the variance of the coefficient difference is not positive definite.

Can someone explain to me what this means and whether I can trust the Hausman test results to be valid. Should I choose the random effects specification as more appropriate for my data?

(Results from hausman test are provided below).

Kind regards,

Christina

. hausman
You used the old syntax of hausman. Click here to learn about the new syntax.


                ---- Coefficients ----
            |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
            |   Consistent   Efficient      Difference          S.E.
-------------+----------------
------------------------------------------------
         gg |    1.130961     1.075676        .0552858               .
      trade |    1.544293     .4932033         1.05109        .4425236
        sec |    3.217286     3.053046        .1642406               .
       tert |    4.319199     3.989446         .329753               .
      trans |    5.480038     5.574542       -.0945033               .
------------------------------------------------------------------------------
                          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(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                         =        5.64
               Prob>chi2 =      0.3427
               (V_b-V_B is not positive definite)

.

*
*   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/
---
Il messaggio che segue e' inserito automaticamente dal server di posta
dell'Universita' Bocconi.

Il 5 per mille a favore degli studenti piu' brillanti.
Sostieni la nostra capacita' di attrarre talento e promuovere il
merito attraverso l'istituzione di borse di studio.
E' un atto volontario, non costa nulla e non sostituisce l'8 per mille.
Scegli Bocconi: codice fiscale 80024610158. Grazie.

Please note that the above message is addressed only to individuals
filing Italian income tax returns.
---

*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index