Hi
I�used�Hausman�test�to�choose�between�a�fixed�effects�and�random�effects�but�i�am�very�surprised�by�results:
��First�,�the�value�if�the�chi2�is�too�big�and�its�sign�depends�on�the�order�of�commands�user�in�stata
1)��if�i�started�with�random�commands�in�stata�are:
��xtreg�y�x,�random
��estimates�store�random
��xtreg�y�x,�fixed
��hausman�random
�----�Coefficients�----
�| �(b) �(B) �(b-B) �sqrt(diag(V_b-V_B))
�| �random �. �Difference �S.E.
-------------+----------------------------------------------------------------
�rating�| �.0142675 �.0096562 �.0046113 �.
�varautor�| �-.0005397 �-.0002915 �-.0002482 �.0001096
�def�| �.1071089 �.0880998 �.0190091 �.
�csr�| �.037553 �.0331016 �.0044514 �.
�anc�| �-.0007706 �-.0007352 �-.0000354 �.
�tx�| �.0038553 �.0060001 �-.0021448 �.
�spread�| �.0083779 �-.0217386 �.0301165 �.
�ech�| �.0004364 �.000571 �-.0001346 �.
�varpibg�| �.0260169 �.0341001 �-.0080832 �.0074378
�f1�| �.1289178 �.0356372 �.0932806 �.
�f2�| �.0457407 �.0389245 �.0068162 �.0002615
�f3�| �.0374901 �.033304 �.0041861 �.0003952
�f4�| �-.017298 �-.0144426 �-.0028554 �.
---------------------------------------------------------------------------
�
�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(13)�=�(b-B)'[(V_b-V_B)^(-1)](b-B)
�=�-1383.63 �chi2<0�==>�model�fitted�on�these
�
�data�fails�to�meet�the�asymptotic
�assumptions�of�the�Hausman�test;
�see�suest�for�a�generalized�test
�2-If�i�start�with�fixed�commands�in�stata�are�:
��xtreg�y�x,�fixed
��estimates�store�fixed
��xtreg�y�x,�random
��hausman�fixed�
�
�----�Coefficients�----
�| �(b) �(B) �(b-B) �sqrt(diag(V_b-V_B))
�| �fixed �. �Difference �S.E.
-------------+----------------------------------------------------------------
�rating�| �.0096562 �.0142675 �-.0046113 �.000271
�varautor�| �-.0002915 �-.0005397 �.0002482 �.
�def�| �.0880998 �.1071089 �-.0190091 �.0069914
�csr�| �.0331016 �.037553 �-.0044514 �.0003885
�anc�| �-.0007352 �-.0007706 �.0000354 �.0000515
�tx�| �.0060001 �.0038553 �.0021448 �.0002077
�spread�| �-.0217386 �.0083779 �-.0301165 �.0014616
�ech�| �.000571 �.0004364 �.0001346 �.0000186
�varpibg�| �.0341001 �.0260169 �.0080832 �.
�f1�| �.0356372 �.1289178 �-.0932806 �.0042425
�f2�| �.0389245 �.0457407 �-.0068162 �.
�f3�| �.033304 �.0374901 �-.0041861 �.
�f4�| �-.0144426 �-.017298 �.0028554 �.0010139
----------------------------------------------------------------------------
��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(13)�=�(b-B)'[(V_b-V_B)^(-1)](b-B)
��= ��1383.63
��Prob>chi2�= ��0.0000
��(V_b-V_B�is�not�positive�definite)
Second�i�got�the�remark�V_b-V_B�is�not�positive�definite�,�i�don't�know�what�does�it�mean�neither�how�to�deal�with�this�problem�
third�,�when�comparing�the�fixed�estimates�with��random�estimates�i�didn't�see�a�big�differences�in�value�except�for�the�variable�spread�which�sign�has�changed�.
�
I�would�be�very�greatful�if�someone�help�me�in�resolving�those�problems.�I�ve�alredy�tried�the�commnd�suest�but�xtreg�didn't�accept�to�undertake�the�option�score()�which�is�necessary.
Best�whises�
Hanaa
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