Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: two way model and -xtoverid


From   Paulo Regis <pauloregis.ar@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: two way model and -xtoverid
Date   Sat, 17 Sep 2011 17:29:34 +0800

Dear Statalisteners,

I am working with panel data and the distinction between fixed
effects, random effects. I am working with -xtreg and -xtoverid (the
second command perform a test similar to hausman but valid when you
use robust SE). When working with the one-way model there is no
problem. I can do

tsset ivat tvar
xtreg Y X1 X2, robust re
xtoverid

Then I can compare the result and use the hausman alike test to decide
between FE and RE. However, I have problems when I work with the
two-way model. If I want to have time there too:

xtreg Y X1 X2 i.tvar, robust re
xtoverid

where "tvar" is a variable with the year of the observation (t=1, ,T).
The -xtreg estimate implies FE for years but RE for individuals. The
command -xtoverid does not work when I want to test whether I should
use FE or RE. If I use dummy variables, I can go around he problem:

xtreg Y X1 X2 t2-tT, robust re
xtoverid

where t2-tT are the dummy variables for T-1 years.

However, I raise the issue here to ask if anyone knows if there is any
good reason -xtoverid does not want to perform the test.

Kind Regards

Paulo
*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index