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st: pmg &mg based on Hausman


From   Nahla Samargandi <Nahla.Samargandi@brunel.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: pmg &mg based on Hausman
Date   Mon, 29 Aug 2011 13:23:09 +0100

Dear stata group,

I could solve my previous problem regarding xtpmg. thanks for helping.
and I have another question regarding Hausman test to compare between MG and PMG

I run Hausman test below, and I would like firstly to make sure is this the right way to compare pmg with mg based on Hausman test, second, the p value I got is it indicate to the fails to reject the restriction of common long-run coefficecnts . Hence, the MG estimator is not as informative as the PMG estimator or the opposite ? third, how i can see the p value for each coefficient separately ?

hausman mg pmg,sigmamore

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |       mg          pmg         Difference          S.E.
-------------+----------------------------------------------------------------
L2.lntrade~p |   -15.99317     6.072908       -22.06608        38.81535
   education |   -58.71332    -8.795231       -49.91809         67.2527
      L.lnca |    60.09664    -2.920407        63.01705        44.75497
       lngov |     7.75185    -3.248477        11.00033         67.8732
          fd |   -3.280872      2.16955       -5.450422        23.96994
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtpmg
            B = inconsistent under Ha, efficient under Ho; obtained from xtpmg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =        3.34
                Prob>chi2 =      0.6472 ( if this is > 0.05) (i.e insignificant   use PMG )

Best regards

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