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From |
"Pasquale Pazienza" <p.pazienza@unifg.it> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: generalized test alternative to Hausman |

Date |
Mon, 5 Sep 2011 21:51:38 +0200 |

Dear Sir/Madam, in dealing with my panel-data analysis I found a problem when running te Hausman test for the choice between RE and FE. The outcome is: chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)= -25.37 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test In the various topics treated in STATALIST, I found a reply dated 2 October 2003 to a question posted by Joana Quina and representing a similar problem. Following the suggested command and procedure (I report here below) I am not able to generate any useful results, since what I get is just the indication of <<invalid 'colnumb'>> when I run command no. 11 (here below), which - of course - does not allow me to run command 12. More specifically, according to the given hints I use the following commands: 1) local id my id 2) local depvar Ln_CO2sct 3) local varlist Ln_GDPsct_pw Ln_GDPsct_pw2 Ln_FLWsct_pGDP Ln_SCTrel_2 Ln_GCF_pw Ln_edu Ln_MKTopn_2 Ln_1_CRpr_GDP_1 4) xtreg `depvar' `varlist', re 5) hausman, save 6) xtreg `depvar' `varlist', fe 7) hausman, less 8) tokenize `varlist' 9) local i 1 while "``i''" != "" {qui by `id': gen double mean`i' = sum(``i'') / _n qui by `id': replace mean`i' = mean`i'[_n] qui by `id': gen double diff`i' = ``i'' - mean`i' local newlist `newlist' mean`i' diff`i' local i = `i' + 1} 10) xtreg `depvar' `newlist', re 11) qui test mean1 = mean1 , notest /* clear test */ local i 2 while "``i''" != "" {if `b'[1, colnumb (`b', "mean`i'")] != 0 & /**/ `b'[1, colnumb (`b', "diff`i'")] != 0 {qui test mean`i' = diff`i', accum notest} local i = `i' + 1} 12) test I would really appreciate to receive any help to solve this problem. Thanks in advance. Regards. Pasquale *************************************************************************************** WORK ADDRESSES: (in Italy) (in UK) Università degli Studi di Foggia Department of Economics and Finance Facoltà di Economia (DSEMS) Durham University Largo Papa Giovanni Paolo II n. 1 23/26 Old Elvet 71100 Foggia (Italy) Durham DH1 3HY E-mail: <p.pazienza@unifg.it> E-mail: <pasquale.pazienza@durham.ac.uk> 5 x 1000 - Campagna di Raccolta fondi 2011 a favore dell'Universita' degli Studi di Foggia Sostieni la Ricerca Scientifica per il futuro della nostra societa', dei nostri giovani, della scienza. Scegli di donare il 5 x 1000 all'Universita' degli Studi di Foggia, nella tua dichiarazione dei redditi firma e inserisci il codice fiscale 94045260711 * * 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/

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