Hello,
I have a data-set with a binary dependent variable. A colleague
suggested doing a Hausman test to analyze whether a logit
specification was appropriate. I don't think I can just use the
Hausman command (both of the weighted and unweighted are inconsistent
if the null hypothesis is false)—when I do, the resulting chi-squared
statistic is sometimes negative. So instead I am trying to use the
suest command. I would like to use robust clustered standard errors.
The basic code I would like to run is (I use `version 9.0' so I can
use weights for logit):
version 9.0
logit y x
est store unweighted
logit y x [aw=wt]
est store weighted
suest unweighted weighted, robust cluster(country)
ttest, common
I use cluster(country) with 'suest' command instead of the 'logit'
command as instructed on the suest help file. However, it appears
'suest' does not like the robust option, returning the error:
unweighted was estimated with a non-standard vce (Robust)
Even when I leave out robust and cluster, STATA still doesn't seem to
like that I'm using suest comparing weighted and unweighted estimates:
. suest unweighted weighted, cluster(country)
inconsistent weighting types
Is there any way that I can do a Suest Hausman test with robust
clustered standard errors, comparing a weighted versus an unweighted
regression?
Thanks a lot.
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