Sofia,
You should take a look at the October 1, 2003 message from Vince Wiggins
([email protected]) at:
http://www.stata.com/statalist/archive/2003-10/msg00031.html
In it, he presents an augmented regression that is asymptotically equivalent
to the Hausman test.
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of [email protected]
> Sent: Tuesday, August 09, 2005 7:57 AM
> To: [email protected]
> Subject: st: hausman vs suest
>
> Dear all,
>
> When I perform a hausman test after using xtivreg, fe and xtivreg, re I
> get a message in the end which says "V_b-V_B is not positive definite":
>
>
> . hausman fe re
>
> ---- Coefficients ----
> | (b) (B) (b-B) sqrt(diag(V_b-
> V_B))
> | fe re Difference S.E.
> -------------+------------------------------------------------------------
> ----
> racionettax | .1282918 .1374477 -.0091559 .
> ilt | .0442928 .1231377 -.0788449 .0198359
> lags | .7338 .8924503 -.1586503 .0199258
> outputgap | .1484418 .0675944 .0808473 .
> racio_g | -.580745 -.2084519 -.3722931 .0463222
> --------------------------------------------------------------------------
> ----
> b = consistent under Ho and Ha; obtained from
> xtivreg
> B = inconsistent under Ha, efficient under Ho; obtained from
> xtivreg
>
> Test: Ho: difference in coefficients not systematic
>
> chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = 72.33
> Prob>chi2 = 0.0000
> (V_b-V_B is not positive definite)
>
>
> There is a remark in the stata help for hausman which says:
> Hausman's test is based on estimating the variance var(b-B) of the
> difference of the estimators by the difference var(b)-var(B) of the
> variances. Under the assumptions (1) and (3), var(b)-var(B) is a
> consistent estimator of var(b-B), but it is not necessarily positive
> definite "in finite samples", i.e., in your application. If this is the
> case, the Hausman test is undefined. Unfortunately, this is not a rare
> event. Stata supports a generalized Hausman test that overcomes both of
> these problems. See suest for details.
>
> Apparently, I should use suest but I cannot perform it. Can anyone help
> me?
>
> Best regards,
> Sofia.
>
>
> *
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*
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