 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: RE: Hausman test for clustered random vs. fixed effects (again)
Mark,
I should have commented on this earlier, but when I eye the
coefficients for both the FE and RE results, I see that some of them
are quite different from one another. However, the xtoverid result
suggests RE is the one to use. Does anybody see this as a problem? The
numerator of the Hausman wald test is the difference in coefficients
of the two models. Is this not missed in the xtoverid approach?
I am posting my regression results to show what I am talking about more clearly.
Thanks for your input.
-Steve
Fixed-effects (within) regression Number of obs = 404
Group variable: id_code_id Number of groups = 88
R-sq: within = 0.2304 Obs per group: min = 1
between = 0.4730 avg = 4.6
overall = 0.4487 max = 7
F(9,87) = 2.47
corr(u_i, Xb) = -0.9558 Prob > F = 0.0148
(Std. Err. adjusted for 88 clusters in id_code_id)
------------------------------------------------------------------------------
| Robust
lnfd | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lags | -.0267991 .0185982 -1.44 0.153 -.063765 .0101668
lagk | .0964571 .0353269 2.73 0.008 .0262411 .166673
lagp | .2210296 .1206562 1.83 0.070 -.0187875 .4608468
lagdr | -.0000267 .0000251 -1.06 0.291 -.0000767 .0000232
laglurb | .3483909 .1234674 2.82 0.006 .102986 .5937957
lagtra | .1109513 .1267749 0.88 0.384 -.1410275 .3629301
lagte | .0067764 .004166 1.63 0.107 -.0015039 .0150567
lagcr | .0950221 .0683074 1.39 0.168 -.0407463 .2307905
lagp | .0343752 .1291378 0.27 0.791 -.2223001 .2910506
_cons | 4.316618 1.996618 2.16 0.033 .348124 8.285112
-------------+----------------------------------------------------------------
sigma_u | .44721909
sigma_e | .0595116
rho | .98260039 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Random-effects GLS regression Number of obs = 404
Group variable: id_code_id Number of groups = 88
R-sq: within = 0.1792 Obs per group: min = 1
between = 0.5074 avg = 4.6
overall = 0.5017 max = 7
Random effects u_i ~ Gaussian Wald chi2(9) = 48.97
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
(Std. Err. adjusted for clustering on id_code_id)
------------------------------------------------------------------------------
| Robust
lnfd | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lags | -.01138 .0135958 -0.84 0.403 -.0380274 .0152673
lagk | .0115314 .0180641 0.64 0.523 -.0238735 .0469363
lagp | .2551701 .119322 2.14 0.032 .0213033 .4890369
lagdr | -6.17e-06 .0000153 -0.40 0.686 -.0000361 .0000238
laglurb | .0657802 .0153923 4.27 0.000 .0356119 .0959486
lagtra | .0022183 .0579203 0.04 0.969 -.1113034 .11574
lagte | .0048012 .0016128 2.98 0.003 .00164 .0079623
lagcr | .1051833 .045994 2.29 0.022 .0150368 .1953298
lagp | .184373 .1191063 1.55 0.122 -.0490711 .4178171
_cons | 9.071133 .2322309 39.06 0.000 8.615968 9.526297
-------------+----------------------------------------------------------------
sigma_u | .10617991
sigma_e | .0595116
rho | .76095591 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xtoverid;
Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust
Sargan-Hansen statistic 14.684 Chi-sq(9) P-value = 0.1000
On Sat, Jun 27, 2009 at 11:31 AM, Schaffer, Mark E<[email protected]> wrote:
> Steve,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Steven Archambault
>> Sent: 27 June 2009 00:26
>> To: [email protected]; [email protected];
>> [email protected]
>> Subject: st: Hausman test for clustered random vs. fixed
>> effects (again)
>>
>> Hi all,
>>
>> I know this has been discussed before, but in STATA 10 (and
>> versions before 9 I understand) the canned procedure for
>> Hausman test when comparing FE and RE models cannot be run
>> when the data analysis uses clustering (and by default
>> corrects for robust errors in STATA 10).
>> This is the error received
>>
>> "hausman cannot be used with vce(robust), vce(cluster cvar),
>> or p-weighted data"
>>
>> My question is whether or not the approach of using xtoverid
>> to compare FE and RE models (analyzed using the clustered and
>> by default robust approach in STATA 10) is accepted in the
>> literature. This approach produces the Sargan-Hansen stat,
>> which is typically used with analyses that have
>> instrumentalized variables and need an overidentification
>> test. For the sake of publishing I am wondering if it is
>> better just not to worry about heteroskedaticity, and avoid
>> clustering in the first place (even though heteroskedaticity
>> likely exists)? Or, alternatively one could just calculate
>> the Hausman test by hand following the clustered analyses.
>>
>> Thanks for your insight.
>
> It's very much accepted in the literature. In the -xtoverid- help file,
> see especially the paper by Arellano and the book by Hayashi.
>
> If you suspect heteroskedasticity or clustered errors, there really is
> no good reason to go with a test (classic Hausman) that is invalid in
> the presence of these problems. The GMM -xtoverid- approach is a
> generalization of the Hausman test, in the following sense:
>
> - The Hausman and GMM tests of fixed vs. random effects have the same
> degrees of freedom. This means the result cited by Hayashi (and due to
> Newey, if I recall) kicks in, namely...
>
> - Under the assumption of homoskedasticity and independent errors, the
> Hausman and GMM test statistics are numerically identical. Same test.
>
> - When you loosen the iid assumption and allow heteroskedasticity or
> dependent data, the robust GMM test is the natural generalization.
>
> Hope this helps.
>
> Cheers,
> Mark (author of -xtoverid-)
>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/