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


From   Mark Schaffer <[email protected]>
To   [email protected], paula garcia <[email protected]>
Subject   Re: st: re:re:re:Re: panel data hausman negative
Date   Wed, 01 Oct 2003 21:45:33 +0100 (BST)

Paula,

Quoting paula garcia <[email protected]>:

> >On Wednesday, October 1, 2003, at 02:33 AM, Paula wrote:
>     >> I have looked for the xthausman command, but stata 
>       says "(help hausman for replacement)".
>     >xthausman is described in the Stata 7 manuals [R] 
>      xtreg, and appears in Stata 8 as well. Unless you're 
>      using an earlier version of Stata, your 
>      copy of Stata is incomplete. xthausman is implemented 
>      as an ado-file.
>     
>     Kit
>         
> 
> I have used the xthausman command, however, I am very surprised by
> some results. When I use whatever of the following alternatives:
> 
>         1)xtreg y x, fe
>        est store fixed
>        xtreg y x, re
>        hausman fixed . 
>         or
>         2) xtreg y x, re
>        estimates store random_effects
>        xtreg y x, fe
>        hausman . random_effects 
>         or
>         3) xtreg y x, fe
>         hausman, save
>         xtreg y x, re
>         hausman
> 
>         I get always the same result:
> 
>          ---- Coefficients ----
>                  | (b)          (B)      (b-B) sqrt(diag(V_b-V_B))
>                  | Consistent Efficient Difference S.E.
> -------------------------------------------------------------------------
----
>      invl1       | 1.974847  1.860985  .1138621 .0419927
>      desipoterl1 | .9808413  .5775732  .4032681 .1703565
>      desliqotvl1 | 2.269129 -1.008472  3.277601 .7864388
>      CPIBreal    | .0036555  .0056068 -.0019513 .002446
>      tendencia   | .0000698  .0000947 -.0000249 .0000122
>    
> -------------------------------------------------------------------------
-----
>      b = consistent under Ho and Ha; obtained from xtreg
>      B = inconsistent under Ha, efficient under Ho; obtained from
> xtreg
>      Test: Ho: difference in coefficients not systematic
>      chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>      = -65.02 chi2<0 ==> model fitted on these
>      data fails to meet the asymptotic
>      assumptions of the Hausman test;
>      see suest for a generalized test
> 
> 
> This would tell me that I do not have enough information to reject
> the null, so I have to use random effects. However, if I use the
> xthausman command, I get:
> 
> . xthausman
> (Warning:  xthausman is no longer a supported command; use
> -hausman-.  For instructions, see help hausman.)
> 
> 
> Hausman specification test
> 
>                 ---- Coefficients ----
>              |      Fixed       Random
>        nfond |    Effects      Effects       Difference
> ------------- -----------------------------------------
>        invl1 |   1.974847     1.860985         .1138621
>  desipoterl1 |   .9808413     .5775732         .4032681
>  desliqotvl1 |   2.269129    -1.008472         3.277601
>     CPIBreal |   .0036555     .0056068        -.0019513
>    tendencia |   .0000698     .0000947        -.0000249
> 
>     Test:  Ho:  difference in coefficients not systematic
> 
>                  chi2(  5) = (b-B)'[S^(-1)](b-B), S = (S_fe -
> S_re)
>                            =    18.01
>                  Prob>chi2 =     0.0029
> 
> which tells me that I have to use fixed effects.
> 
> How is this possible?

Very good question!  The second hausman test using xthausman looks fine.  
The statistic is positive and significant.  This looks right because the 
differences between the two sets of coefficients are big relative to the 
SEs (reported along with the first hausman test).

The first hausman test results look strange indeed.  The fixed effects 
coeffs are labelled "consistent" and the random effects "efficient", which 
is correct.  But there are 5 coefficients yet output states there are only 
4 degrees of freedom, and the stat is different (and negative!).

Maybe you should contact Stata Technical Support?

--Mark

> Thank you very much,
> Paula
> 
> 
> _________________________________________________________
> http://www.latinmail.com.  Gratuito, latino y en espa´┐Żol.
> 
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> 



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: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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