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Re: st: Hausman test for one variable only

From   Mark Schaffer <[email protected]>
To   [email protected], Axel Heitmueller <[email protected]>
Subject   Re: st: Hausman test for one variable only
Date   Mon, 03 Jan 2005 15:39:46 +0000 (GMT)


Quoting Axel Heitmueller <[email protected]>:

> Hi there,
> I'm trying to do the following: estimating xtlogit, fe and re and
> compare only the coefficients for one variable. I could run re only and
> include the mean and the de-meaned variable and then apply test
> mean=de-mean. Unfortunately, the variable under consideration is binary,
> hence there is perfect collinearity and stata excludes them.

My recollection (reference books aren't to hand, but if you have Wooldridge
2002, it's in there), in the case of linear regression and fixed/random
effects, the artificial regression approach would be to include the group
mean of the variable in question as an additional regressor and then test
the significance of the coefficient on it.  Why wouldn't this work in the
logit case?  What is the source of the collinearity?


> Is there
> any easy way to compare coefficients from two estimations? Can the
> Hausman test be manipulated to test sub-groups of variables?
> Thanks
> Axel
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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 +44-131-451-3294
email: [email protected]


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