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re: Re: st: panel data hausman negative
From: paula garcia <email@example.com>
Date sent: Tue, 30 Sep 2003 11:31:47 -0400
Subject: st: X-Mailer: LatinMail v3.0 -- http://www.latinmail.com.com
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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?
It looks like I have to bow out, because I still (!!) haven't yet
upgraded to Stata 8. It should be any day now, but that isn't good
enough for this thread. :(
Anybody else out there have any ideas?
> 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
> > 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
> http://www.latinmail.com. Gratuito, latino y en espaņol.
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Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3485 CERT administrator
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