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st: matsize & single exogeneity & autocorrel. in panel

From   "vukasinm" <[email protected]>
To   <[email protected]>
Subject   st: matsize & single exogeneity & autocorrel. in panel
Date   Tue, 10 Aug 2004 23:14:31 +0200

Hello Statalisters,
I would be very grateful if someone could answer next questions.

First, I was trying to estimate panel data model in Intercooled Stata 7.0,
with N=930 and T=6, i.e. total 5580 observations and 12 variables, but
without any success. Is the only solution working in Stata/SE 8.0 where the
upper limit is 11000?

Second, since I suspect autocorrelation and single exogeneity  problem in
the model (some regressors are correlated with individual effects), my
question is: what should I apply first - test for single exogeneity (Hausman
test: fixed effect (FE) v.s. random effect (RE)model) or test for
autocorrelation in RE model?

I thought to apply first Hausman specification test, because if there is
singly exogeneity problem in RE model, then AR(1) test is based on biased
and inconsistent estimates and residuals later. But, on the other hand, if
the remainder disturbances u_it  follow an AR(1) process, and I test single
exogeneity first, Hausman test and Hausman-Taylor (HT) over-identification
test are in fact not valid. Any suggestions?

Third,  I am not sure if I made mistake in defining HT set of instruments
A=[QX_1, PX_1, QX_2, Z_1], since following result of HT over-identification
test (FE AR(1) v.s HT AR(1)) is strange to me:

.xtreg lexAR ldistAR combordAR v97AR v98AR v01AR euAR ceftaAR croAR bjrAR
lpopexAR lpopimAR lgdpimAR lgdpexAR, fe
. xtivreg lexAR v97AR v98AR v01AR euAR ceftaAR croAR bjrAR (ldistAR lpopexAR
lpopimAR lgdpimAR lgdpexAR = combordAR QlpopiAR1 QlpopeAR1 QlgdpimAR1
QlgdpexAR1), re
 Test:  Ho:  difference in coefficients not systematic

                chi2( 12) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =    -2.74    chi2<0 ==> model estimated on these
                                        data fails to meet the asymptotic
                                        assumptions of the Hausman test.

Thanks a lot in advance for all the suggestions.
Best regards,

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