Pietro,
In your first result the prob>chi2 value is not known. But in your second result it was given to be 0.0552.
which is less than
0.05 (i.e significant) so you can use fixed effect. I think you can equally use Breusch and Pagan Lagrangian Multiplier test for random effects to know if truly it is not okay. I think others are listening to correct us if this position is not right.
***********************************************************************
SOLA OLORUNFEMI Ph.D
SENIOR LECTURER
DEAPARTMENT OF ECONOMICS
ADEKUNLE AJASIN UNIVERSITY
AKUNGBA AKOKO
ONDO STATE NIGERIA
official e-mail: olorunfemi@adekunleajasinuniversity.edu.ng
TEL NO +234 803 581 0893
**********************************************************************
________________________________
From: PIETRO MASCI <pete888888@msn.com>
To: statalist <statalist@hsphsun2.harvard.edu>
Sent: Saturday, 2 February 2013, 8:09
Subject: st: RE: panel data fixed vs random
Hi
i am using a panel data and run fixed effects and stored and random effects and stored to perform the hausman test.
when i use
hausman fix random
i get the following output:
Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients
being tested (4); be sure this is what you expect, or there may be problems computing
the test. Examine the output of your estimators for anything unexpected and possibly
consider scaling your variables so that the coefficients are on a similar scale.
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fix random Difference S.E.
-------------+----------------------------------------------------------------
Penetratio~2 | -83456.95 -29177.79 -54279.16 .
GastosSaud~a | .6067533 -4.087394 4.694147 .
MortHomicp~b | 4.54167 65.12774 -60.58607 .
interinsfi~a | .238441 .3677846 -.1293436 .
------------------------------------------------------------------------------
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(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -5.80 chi2<0 ==> model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
If i run the hausman test in the reverse order:
hausman random fix
i get the following output:
Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients
being tested (4); be sure this is what you expect, or there may be problems computing
the test. Examine the output of your estimators for anything unexpected and possibly
consider scaling your variables so that the coefficients are on a similar scale.
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| random fix Difference S.E.
-------------+----------------------------------------------------------------
Penetratio~2 | -29177.79 -83456.95 54279.16 56513.77
GastosSaud~a | -4.087394 .6067533 -4.694147 2.920822
MortHomicp~b | 65.12774 4.54167 60.58607 31.10263
interinsfi~a | .3677846 .238441 .1293436 .0192787
------------------------------------------------------------------------------
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(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 5.80
Prob>chi2 = 0.0552.
How do i interpret the test?
should i reject the fixed effects based on the chisquare of the second output (5.8;0.055)?
should i transform/scale the variables? use log?
thanks a lot!
Pietro Masci
pete888888@msn.com
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