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From |
pietro masci <pete888888@msn.com> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

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

Date |
Mon, 4 Feb 2013 10:13:06 -0500 |

thanks!! I ran the hausman after log transformation, hausman fix6 random6 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fix6 random6 Difference S.E. -------------+---------------------------------------------------------------- logPenetra~2 | .0867588 -.4900428 .5768016 .0213524 logGastosS~a | .00316 -.0937751 .096935 . logMortHom~b | .0033615 .0204816 -.01712 . loginterin~a | -.0596365 .5041358 -.5637723 .0428176 ------------------------------------------------------------------------------ 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(4) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 158.35 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) and from the output it looks like i should stay with the fixed effects. As Kit suggest i am reviewing the fixed effects model. What i am trying to test is the role of insurance (penetration) on entrepreneurship (depvar) The variable loginterins is interaction between insurance and finance and there is endogeneity. thanks Pietro ---------------------------------------- > From: kit.baum@bc.edu > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: panel data fixed vs random > Date: Mon, 4 Feb 2013 12:21:46 +0000 > > <> > On Feb 4, 2013, at 2:33 AM, Pietro said: > > > 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 > > Garbage in, garbage out. You cannot arbitrarily reverse the order of arguments to -hausman-. As the footer says, you > have specified that the first set of estimates is always consistent, i.e. FE, not RE. You have to use fixed as the first argument. > > The huge difference in point estimates suggests to me that RE is not acceptable. Furthermore, when you run the > test properly, you get a negative Chi2 value, and the command tells you that you are not meeting the underlying assumptions. > In my experience this often signals that you are comparing two inconsistent estimators, i.e., that your FE model is > seriously misspecified, and is itself junk. I would work with the FE model, analyze its residuals, and consider whether > there are obvious problems of omitted variables, endogeneity, etc. > > Kit > > 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 > > > * > * 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/ * * 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/

**References**:**Re: st: RE: panel data fixed vs random***From:*Christopher Baum <kit.baum@bc.edu>

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