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From |
May Ster <mayfrank@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Xtoverid and negative Hausman Test |

Date |
Sat, 15 Jan 2011 02:41:43 +0000 |

Dear all, I’m currently working on Panel Data . In my data, panel var = 90 units , time var = 38 years. For your informaiton I use ; Xtreg lnY lnA1 lnA2 lnB1 lnB2 lnC lnD Dummy1 Dummyf2 Dummy3 Dummy4 Dummy5 Dummy6 LnY = Dependent Var. LnA1, LnA2, LnB1, LnB2, LnC, Dummy1,2 = time-variant variables LnD, Dummy3, 4, 5,6 = time-invariant variables. It is assume to be a linear regression containing individual effects ; I then have checked for the appropriateness of the individual effects model to be use. [The Hausman test proves fixed effects model is preferred over the random effects model] Then, I took the benefit of the Hausman-Taylor estimation as according to the literatures there should be correlations between some of explanatory variables and individual effects. As well, if using fixed effects model, time-invariant variables could not be observed. Thus, this will not bring any benefits to the interpretation of the effects since coefficient on, for example from above lnDij will not be read. My question is, is it necessary to perform another Hausman Test to state again that the Hausman-Taylor is a consistent estimator? In certain literatures, the researcher’s choice choosing the Hausman-Taylor is simply to acquire coefficient on time-invariant variables in which the fixed effects model couldn’t perform. However, I actually did perform the Hausman Test and found the test showing negative value. I then consulted Statalist so far on this issue. A lot of them say this case is common and I should do as STATA suggested; using ‘Suest’. But, ‘Suest’ can’t be applied with ‘Xtreg’, and then I became very doubtful. Another way is to use the command ‘XTOVERID’ after ‘Xthtaylor’ can be the way to obtain positive value of Sargan-Hansen Statistic. But if I understand it correctly, ‘XTOVERID’ is an over-identifying test to sort of signal that instruments I have chosen are appropriate. I still do not see how ‘XTOVERID’ can be used to compare whether the Hausman-Taylor is more consistent than the fixed-effects in this case. I am certain that some use ‘XTOVERID’ to decide the fixed effect versus the random effects models. But, how is it done about comparing the Hausman-Taylor verus the fixed effects model? Some says, I do not have to compare these two models; as if given the fact that the fixed-effects estimator was consistent, why I would have to use the Hausman-Taylor. I am not so sure about this. I wonder whether there is such a test to conclude that the Hausman Taylor is more consistent than the fixed effects estimator (which lacks lots of efficiency in this case). Best Regards, Orachat * * 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/

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