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From   paula garcia <paulagarciag@latinmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: X-Mailer: LatinMail v3.0 -- http://www.latinmail.com.com
Date   Tue, 30 Sep 2003 11:31:47 -0400

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.

Thanks,
Paula


> 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.

>  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


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