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Re: st: re:re:Re: panel data hausman negative


From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: re:re:Re: panel data hausman negative
Date   Wed, 1 Oct 2003 17:31:47 +0100

Bude,

Date sent:      	Wed, 1 Oct 2003 08:40:22 -0700 (PDT)
From:           	Stata User <[email protected]>
Subject:        	Re: st: re:re:Re: panel data hausman negative
To:             	[email protected]
Send reply to:  	[email protected]

> Hi,
> 
> I have a question related to hausman test.  I once ran
> a random-effects regression and got sigma_u = 0.  When
> I tried to use hausman test, Stata said it was an
> inappropriate test since random effects has
> degenerated to OLS.  
> 
> My question is what causes random effects to
> degenerate to an OLS.
> 
> Bude C.sasawat

Have a look at the answer given by Marcela Perticara to the list:

http://www.stata.com/statalist/archive/2002-12/msg00106.html

--Mark

> 
> --- paula garcia <[email protected]> wrote:
> > 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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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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