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st: Hausman test on FE2SLS vs. EC2SLS with xtoverid?
From
cbusl <[email protected]>
To
[email protected]
Subject
st: Hausman test on FE2SLS vs. EC2SLS with xtoverid?
Date
Tue, 9 Apr 2013 09:25:17 -0700 (PDT)
Hi,
I want to test the consistency of EC2SLS vs. FE2SLS (I used xtivreg with
ec2sls and fe option respectively). With the standard STATA hausman command
(irrespective of the sigma option) V_b-V_B is not positive definite (I'm
working with an unbalanced panel with T=28, n=120).
I read that xtoverid can be used to compute such a test of fixed vs. random
effects after xtreg, re. But does it also work after xtivreg, re and
xtivreg, ec2sls (which is a kind of random estimator)?
Thanks,
Claudia
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