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st: hausman test after xtnbreg and alternatives?


From   Nina Teichert <nina.teichert@kit.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: hausman test after xtnbreg and alternatives?
Date   Fri, 16 Sep 2011 16:17:08 +0100

Dear all,

I am using xtnbreg and I want to decide whether I better choose fixed or random effects.

When I run
xtnbreg .... , fe
estimates store fixed
xtnbreg .... , re
estimates store random
hausman fixed random

I get this result

= -64.08 chi2<0 ==> model fitted on these
                                        data fails to meet the asymptotic
                                        assumptions of the Hausman test;
                                        see suest for a generalized test

When I run it the other way round (hausman random fixed - just in case I somehow mixed something up), it says

                           =       64.08
                Prob>chi2 =      0.0000
                (V_b-V_B is not positive definite)

Unforntunately, the alternative to hausman proposed in this list, xtoverid, does not work for xtnbreg. I would be very grateful for any comments or suggestions that helped me to decide whether fixed or random effects are appropriate in my case.

Best
Nina

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