st: RE: generalized test alternative to Hausman 3

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Pasquale,

Please see point #2 of my original email.  All you've done is show us the output of the -hausman- command.  I had a specific suggestion regarding the options for this command that you should try, but you haven't told us if you've tried it.  Also, please reply to the list if you have a follow up question to this post, not to me personally.

--MS

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Schaffer, Mark E
> Sent: 06 September 2011 16:29
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: generalized test alternative to Hausman
> 
> Pasquale,
> 
> A couple of thoughts...
> 
> 1.  It looks like you're using the old syntax of the 
> -hausman- command.  Is this because you have an old version 
> of Stata?  FIY, when posting to Statalist, you should 
> normally say which version of you are using (see the FAQ, 
> http://www.stata.com/support/faqs/res/statalist.html#stata).
> 
> 2.  The Hausman test stat can sometimes be <0 in finite 
> samples because different estimates of the error variance are 
> being used in V_b and V_B.  You can force the same variance 
> to be used in both with either the sigmamore or sigmaless 
> options (depending on the version of Stata you have, hence 
> the importance of telling us - see #1).
> 
> HTH,
> Mark
> 
> -----Original Message-----
> From: Pasquale Pazienza [mailto:p.pazienza@unifg.it] 
> Sent: 16 September 2011 12:13
> To: statalist@hsphsun2.harvard.edu
> Cc: Schaffer, Mark E
> Subject: generalized test alternative to Hausman 3
> 
> Dear Mark,
> 
> thanks again for your reply. While highlighting that STATA 
> version 10 is the one I am using, I report the Hausman test 
> result here below.
> 
> Tab. Hausman test results.
> 	              Coefficients		
> 	            (b)	          (B)	         (b-B)	        
> Sqrt (duag(v_b-V_B))
> 	             fe	           .	         difference	S.E.
> Ln_GDPsct_pw	-.0793763	.0256665	-.1050429	.1291917
> Ln_GDPscr_pw2	-.000889	-.0030242	.0021352	.0033101
> Ln_FLWsct_pGDP	-.0002738	-.0001679	
> -.0001059	-
> Ln_SCTrel_2	.1359481	.166646	        -.0306978	.0341267
> Ln_GCF_pw	.1085437	.1586885	-.0501448	.0367002
> Ln_edu	        1.906183	1.578326	
> .3278571	.2079112
> Ln_MKTopn_2	-.164718	-.1369007	-.0278172	.0254818
> Ln_1_CRpr_GDP_1	-.0030535	-.0033269	
> .0002734	-
> 
> 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 (B) = (b-B) ' [(v_b-V_B)^(-1)] (b-B) = - 25.37 chi2 < 0 
> ==> model fitted on these data fails to meet asymptotic 
> assumptions of the Hausman test; see SUEST for a generalized test
> 
>  
> 
> **************************************************************
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