Tom,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Thomas Erdmann
> Sent: Thursday, January 18, 2007 6:05 PM
> To: [email protected]
> Subject: st: AW: RE: AW: RE: Panel re vs. fe model
>
> Mark,
>
> Out of interest: You mention -xtoverid-
> (http://fmwww.bc.edu/RePEc/bocode/x)
> below, which relates to instrumental variable two-stage LS
> regressions.
>
> How does that fit together with the Hausman test for a
> "simple" -xtreg- ?
>
> - Tom
The standard Hausman test for FE vs. RE is exactly the same thing as the Sargan (overidentifying restrictions) statistic in the quasi-demeaned regression that gives you the RE estimates. More precisely, the Wald test using -testparm- as in your code is asymptotically equivalent to an LM-type Sargan stat.
The underlying concepts are the same, too - using extra orthogonality conditions to get increased efficiency, etc.
Cheers,
Mark
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert
>
>
>
> -----Urspr�ngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von
> Schaffer, Mark E
> Gesendet: Donnerstag, 18. Januar 2007 18:44
> An: [email protected]
> Betreff: st: RE: AW: RE: Panel re vs. fe model
>
> Thomas,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Thomas
> > Erdmann
> > Sent: Thursday, January 18, 2007 5:28 PM
> > To: [email protected]
> > Subject: st: AW: RE: Panel re vs. fe model
> >
> > Mark,
> >
> > Thanks for the fast reply. As you point out my goal is to decide
> > whether the fixed or random effects model is appropriate.
> >
> > As the model indicates that both firm and time effects are
> present I
> > use -xtreg, cluster()- (i.e. -cluster(id)- for the firm
> effect) with
> > addtitional time dummies. In this context I encountered the
> discussion
> > about the appropriateness of the Hausman test.
> >
> > That said, just to rephrase: implementing an artifical
> regression as
> > below gives me a more robust Hausman test that works in the
> described
> > setting?
>
> Yes indeed.
>
> > I was just wondering if I get too complicated or overlook
> something,
> > because an official Stata command seems to be missing (other than
> > -xttest0- for random effects) and I assume that the setting
> described
> > is not so uncommon?
>
> In fact, this comes up often enough for me to think that we
> should add it to xtoverid.
>
> --Mark
>
> > - Tom
> >
> >
> >
> > -----Urspr�ngliche Nachricht-----
> > Von: [email protected]
> > [mailto:[email protected]] Im Auftrag
> von Schaffer,
> > Mark E
> > Gesendet: Donnerstag, 18. Januar 2007 17:41
> > An: [email protected]
> > Betreff: st: RE: Panel re vs. fe model
> >
> > Thomas,
> >
> > > -----Original Message-----
> > > From: [email protected]
> > > [mailto:[email protected]] On Behalf Of Thomas
> > > Erdmann
> > > Sent: Thursday, January 18, 2007 3:21 PM
> > > To: [email protected]
> > > Subject: st: Panel re vs. fe model
> > >
> > > 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?
> >
> > Yes.
> >
> > > (2) Are there yet other alternatives to the Hausman test in this
> > > setting?
> >
> > The difference between the FE and RE specification is that
> the latter
> > uses more orthogonality conditions, and the Hausman test in this
> > context is just a GMM test of these extra orthogonality
> conditions.
> > If you want to test something else, then I suppose you would use an
> > alternative test, but I'm not sure what the something else would be.
> >
> > Cheers,
> > Mark
> >
> > > 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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