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: RE: Hausman fe re stata 10 & 11


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Hausman fe re stata 10 & 11
Date   Tue, 20 Sep 2011 18:00:17 +0100

Vikram,

Stata 11 doesn't report the Hausman stat you request because it's wrong.
Stata 10 shouldn't have been allowing -hausman- with a robust or
cluster-robust VCE, and I think that's why the behavior of Stata 11 is
different.

If you want a robust or cluster-robust Hausman-like statistic, have a
look at -xtoverid-, downloadable from ssc in the usual way.  (In case
you're wondering, from a GMM perspective the Hausman FE vs RE test is a
kind of overidentification test.)

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> vikramfinavker
> Sent: 20 September 2011 17:04
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman fe re stata 10 & 11
> 
> Hi,
> 
> Currently i am using stata 11 and running following regressions.
> 
> Random effects:
> xtreg vw1edf5dec alldev09 vw1mvgroslev vw1retoncap100 vw1lntotassets
> vw1asvol1 vw1excessftse100 vw1curratio d2-d11 yr_99- yr_10, robust
> 
> (est store re)
> Fixed effects:
> 
> xtreg vw1edf5dec alldev09 vw1mvgroslev vw1retoncap100 vw1lntotassets
> vw1asvol1 vw1excessftse100 vw1curratio yr_99- yr_10, robust 
> fe (est store fe)
> 
> After each regressions i am storing residuals to calculate 
> hausman test.
> when i run hausman fe re it gives me following error.
> 
> . hausman fe re
> hausman cannot be used with vce(robust), vce(cluster cvar), 
> or p-weighted data r(198);
> 
> 
> When i do the same thing in state 10 it computes the hausman 
> test and gives me proper results. is anyone aware about this 
> problem. How can i solve this.
> or should i remove robust option from the regression. ??
> 
> 
> --
> View this message in context: 
> http://statalist.1588530.n2.nabble.com/Hausman-fe-re-stata-10-
> 11-tp6812809p6812809.html
> Sent from the Statalist mailing list archive at Nabble.com.
> *
> *   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/
> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   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