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re: Re: st: panel data hausman negative


From   paula garcia <paulagarciag@latinmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   re: Re: st: panel data hausman negative
Date   Mon, 29 Sep 2003 19:01:12 -0400

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 <M.E.Schaffer@hw.ac.uk>
> cc: 
> date: 9/29/2003 10:01:00 PM
> subject: Re: st: panel data hausman negative
> 
> Paula,
> > 
> > Quoting paula garcia <paulagarciag@latinmail.com>:
> > 
> > > 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: m.e.schaffer@hw.ac.uk
> > web: http://www.sml.hw.ac.uk/ecomes
> >



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