Mark, thanks for your answer. The problem is the following.
I want to know if the best estimation is a fixed or a random
effects. So I use the Hausman test:
xtreg y x, fe
hausman, save
xtreg y x, re
hausman
I want to run three versions of models, and they have more
or less the same variables. In the first two, the p-value of
Hausman is 0.0000, so I use xtreg, fe. However, when I run
the third model, the HAusman statistic is negative. I have
read that this means that with my sample, I have no evidence
to reject the null, so I would have to make a random effects
for this third model.
However, for me is strange the result on the third model
(random effect), since more or less the variables are the
same ones than in the first two models, and the population
is, of course, the same. So I would like to test the
hypothesis of random effects by means of other command,
like suest.
Thank you in advance.
Paula
> -------
> to: Mark Schaffer <[email protected]>
> cc:
> date: 9/29/2003 10:01:00 PM
> subject: Re: st: panel data hausman negative
>
> Paula,
> >
> > Quoting paula garcia <[email protected]>:
> >
> > > Hi all,
> > >
> > > I would be very grateful if someone could give a hint on
> the following.
> > >
> > > I have a panel data set and, when using the hausman
> test, I do not get a useful result (chi2 is negative). I
> know about the command suest. But to use suest the estimation must have been undertaken using a "score()" option. But as far as I can see this "score()"
> > > option is not defined for "xtreg".
> >
> > Can you give us a more detailed description of what
> hypotheses you're testing? Sometimes the Hausman statistic
> is guaranteed to be positive, and if you're getting a
> negative number it's a sign that something's
> > wrong. Other times a negative Hausman statistic is possible, and can be interpreted as simply being below the relevant critical value, i.e., you
> > fail to reject the null. It all depends on the application.
> >
> > --Mark
> >
> > >
> > > Any help is very much wellcomed.
> > >
> > > Thank you.
> > >
> > > Paula
> > >
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS
> > tel 44-131-451-3494 / fax 44-131-451-3008
> > email: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> >
_________________________________________________________
http://www.latinmail.com. Gratuito, latino y en espa�ol.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
