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Mark, thanks again. I have looked for the xthausman command, but stata says "(help hausman for replacement)". I have also tried with:
xtreg y x, fe
est store fixed
xtreg y x, re
hausman fixed .
but the hausman statistic is still negative. How can I use the suest command if xtreg does not support the score option?
Related to your second check, the sigma_u is different from zero.
> 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
> 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 -
- Have you checked to see if your random effects estimation has inadvertently reduced to pooled OLS? This will show up as sigma_u=0.
> 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,
> Thank you in advance.
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