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Re: st: two way model and -xtoverid


From   Paulo Regis <pauloregis.ar@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: two way model and -xtoverid
Date   Sat, 17 Sep 2011 18:32:15 +0800

Thank you for the clarification.

Cheers

Paulo

On Sat, Sep 17, 2011 at 5:43 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> 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.
>
>
> Schaffer and Stillman's -xtoverid- (SSC) was written before the advent of factor variables,
> so it does not understand the names Stata makes up for them. There is an easy fix. While
>
> xtreg n w i.year,re
> xtoverid
>
> does not work, the old-style-xi- syntax (implying the same model) does. Using abdata:
>
> xi: xtreg n w i.year,re
> xtoverid
>
> Test of overidentifying restrictions: fixed vs random effects
> Cross-section time-series model: xtreg re
> Sargan-Hansen statistic  13.969  Chi-sq(5)    P-value = 0.0158
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
>
>
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