Hi -
The drawbacks of Hausman test regarding its asymptotic assumptions or in a
cluster setting are discussed at several points in the Statalist.
e.g. http://www.stata.com/statalist/archive/2005-08/msg00741.html
or several others by e.g. searching for "fe re cluster Hausman" in the
archives.
My conclusion would be that using -suest- would be a good alternative but is
not possible because -xtreg, fe- does not produce scores. I found another
alternative described here,
http://www.stata.com/statalist/archive/2005-08/msg00853.html
where Vince Wiggins suggests using an artificial regression (find below).
Two questions:
(1) Regarding the code below, could you just add the -cluster()- option as
further option and would the artificial regression still make sense?
(2) Are there yet other alternatives to the Hausman test in this setting?
Thanks for your feedback,
Tom
---------------------------------- BEGIN --- artreg.do --- CUT HERE -------
local id idcode
local depvar ln_wage
local varlist ttl_exp union white
iis `id'
xtreg `depvar' `varlist' , re
local i 0
foreach var of varlist `varlist' {
egen mymean`++i' = mean(`var') if e(sample), by(`id')
}
xtreg `depvar' `varlist' mymean1-mymean`i' , re
testparm mymean1-mymean`i'
---------------------------------- END --- artreg.do --- CUT HERE -------
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