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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: panel data fixed vs random |

Date |
Sun, 3 Feb 2013 22:22:13 +0000 |

0.0552 is not less than 0.05, even though 0.0052 is in this context a little deal. Nick On Sun, Feb 3, 2013 at 10:07 PM, olorunfemi sola <solafem7@yahoo.co.uk> wrote: > 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? > > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: panel data fixed vs random***From:*olorunfemi sola <solafem7@yahoo.co.uk>

**References**:**st: outreg: merging results from several regressions***From:*"Peter Neumayr" <peter.neumayr@gmx.at>

**st: RE: panel data fixed vs random***From:*PIETRO MASCI <pete888888@msn.com>

**Re: st: RE: panel data fixed vs random***From:*olorunfemi sola <solafem7@yahoo.co.uk>

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