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re: Re: st: panel data hausman negative


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   re: Re: st: panel data hausman negative
Date   Tue, 30 Sep 2003 13:35:29 +0100

Paula,

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

> 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.

A couple of checks:

- Do you get the same results if you use the built-in -xthausman- 
command?

- Have you checked to see if your random effects estimation has 
inadvertently reduced to pooled OLS?  This will show up as sigma_u=0.

--Mark

>  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
> > >
> 
> 
> 
> _________________________________________________________
> http://www.latinmail.com.  Gratuito, latino y en espaņol.
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

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