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st: Hausman test after xtnbreg and alternatives?


From   Heewon Chae <heewon.chae@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman test after xtnbreg and alternatives?
Date   Mon, 11 Feb 2013 13:23:04 -0500

Hi All,

I am using xtnbreg and I want to decide whether to choose fixed or
random effects.

When I run
xtnbreg .... , fe
estimates store fixed
xtnbreg .... , re
estimates store random
hausman fixed random

I get this result:

Test:  Ho:  difference in coefficients not systematic

                 chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =   -68.68    chi2<0 ==> model fitted on these
                                        data fails to meet the asymptotic
                                        assumptions of the Hausman test;
                                        see suest for a generalized test

What other commands or approaches I can use to check which one to use?
Unfortunately, the alternative to hausman proposed in this list,
xtoverid, does not work for xtnbreg. I would be very grateful for any
comments or suggestions that helped me to decide whether fixed or
random effects are appropriate in my case.


Thank you!
Heewon
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