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st: generalized test alternative to Hausman


From   "Pasquale Pazienza" <p.pazienza@unifg.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: generalized test alternative to Hausman
Date   Mon, 5 Sep 2011 21:51:51 +0200

Dear Sir/Madam,

in dealing with my panel-data analysis I found a problem when running the 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>

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