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Re: st: Hausman Taylor Test to check for REv/s FE


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hausman Taylor Test to check for REv/s FE
Date   Mon, 03 Dec 2007 17:55:24 +0100

-xtoverid- from ssc provides explanation and solution
Nicola
At 02.33 29/11/2007 -0500, Seema Bhatia wrote:
>Hello there
>
>I have a question about the HT test for the use of of FEv/sRE
>
>What would happen if while testing for the more efficient estimator, I 
>specified Re as robust? Therefore instead of
>
>xtreg depvar indepvar 1........................indepvarn, re
>
>I specify
>
>xtreg depvar indepvar 1........................indepvarn, re robust?
>
>I did this just as a test out of curiosity (without considering the full 
>implications of this) and I find that the differenc in the two commands 
>changes the  Prob>chi2 dramnatically so that in the former case FE is 
>appropriate and in the latter RE is appropriate
>
>Any guidance on this would be useful.
>
>Many thanks
>
>Seema 

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