shels,
Date sent: Wed, 2 Mar 2005 12:22:44 +0000 (GMT)
From: shels <[email protected]>
Subject: st: ON -XTHAUMAN-
To: [email protected]
Send reply to: [email protected]
> to listers:
>
> i am trying to apply -xthausman- to test for the
> random effects assumption but everytime i do that this
> error comes up:
>
> Estimate of sigma_u = 0, random-effects estimator has
> degenerated to pooled
> OLS and the Wald test from xthausman may not be
> appropriate. See [R] hausman
> for a more general implementation of the Hausman test.
> r(459);
>
>
> i think it has something to do with the fact that
> sigma_u = 0 when i apply the -xtreg, re- to my model?
> what does sigma_u = 0 means anyway?
This is a standard trap that is easy to fall into, and comes up on
the list from time to time. Here's a link to an explanation I
offered once before:
http://www.stata.com/statalist/archive/2004-02/msg00644.html
but there are other (and better) contributions that you can find if
you search the archives.
Cheers,
Mark
> and what do you
> suggest i should do instead if hausman test wouldnt
> run? how would i know which among fixed and random
> effects is better to use?
>
> any help would be greatly appreciated!
> thank you v.much!
> -shels-
>
> =====
>
> --------------------------------------------------------------------------------------------------------------------------------
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>
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Prof. Mark E. Schaffer
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Department of Economics
School of Management & Languages
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