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Re: st: Hausman test after xtnbreg and alternatives?


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu, Heewon Chae <heewon.chae@gmail.com>
Subject   Re: st: Hausman test after xtnbreg and alternatives?
Date   Mon, 11 Feb 2013 18:11:07 -0500

Your model is not overidentified, so an overidentification test is
irrelevant. When you say that you do not get "a right statistic" by
reversing the order of the models in the command, what do you mean by
that? If you want help you have to show us what you get. David
Greenberg

On Mon, Feb 11, 2013 at 5:18 PM, Heewon Chae <heewon.chae@gmail.com> wrote:
> Thanks for the reply but I don't think the two can be good
> alternatives. 1) xtoverid doesn't work for xtnbreg. 2) doing it with a
> reverse order doesn't give a right statistic.
> (http://www.stata.com/statalist/archive/2004-08/msg00251.html)
>
> Is there anyone who can help this out?
>
> Thanks!
>
>
> On Mon, Feb 11, 2013 at 2:10 PM, Muhammad Anees <anees@aneconomist.com> wrote:
>> -xtoverid-
>>
>> On Mon, Feb 11, 2013 at 11:23 PM, Heewon Chae <heewon.chae@gmail.com> wrote:
>>> 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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>>
>>
>>
>> --
>>
>> Best
>> ---------------------------
>> Muhammad Anees
>> Assistant Professor/Programme Coordinator
>> COMSATS Institute of Information Technology
>> Attock 43600, Pakistan
>> http://www.aneconomist.com
>> *
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> *
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