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Re: st: RE: hausman test results
From
"Justina Fischer" <[email protected]>
To
[email protected]
Subject
Re: st: RE: hausman test results
Date
Fri, 11 Feb 2011 21:31:27 +0100
Hi Lid,
Eric is right. Your coefficients for the FE and RE model are identical. This is extremely unlikely to be the case ...
Justina
-------- Original-Nachricht --------
> Datum: Fri, 11 Feb 2011 19:19:33 +0100
> Von: DE SOUZA Eric <[email protected]>
> An: "[email protected]" <[email protected]>
> Betreff: st: RE: hausman test results
> The results indicate that you did something wrong. The kind of results
> you get is what would happen if did the following:
> webuse grunfeld
> xtreg invest mvalue kstock, fe
> estimates store fef
> xtreg invest mvalue kstock, fe
> estimates store ref
> hausman fef ref
>
> Did you get the following message before your test output?
>
> Note: the rank of the differenced variance matrix (0) does not equal the
> number of coefficients being tested (2); be
> sure this is what you expect, or there may be problems computing
> the test. Examine the output of your
> estimators for anything unexpected and possibly consider scaling
> your variables so that the coefficients are on
> a similar scale.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Jan Lid
> Sent: 11 February 2011 18:32
> To: [email protected]
> Subject: st: hausman test results
>
>
>
>
>
>
> Hi,
>
> I have a prroblem interpreting the hausman test. My difference is zero
> everywhere which valids my use of random effect model. What i do not
> understand however is that my hausman value result is zero. with a probability of
> zero. This would suggest systematic difference but the table below tells me
> otherwise. How do i interpret this? Thx for the help
>
> Jan Lid
>
>
> ---- Coefficients ----
> | (b) (B) (b-B) sqrt(diag(V_b-V_B))
> | fixed random Difference S.E.
> -------------+----------------------------------------------------------
> -------------+------
> e_n | -.0992885 -.0992885 0 0
> lnbtm_n | -.0044924 -.0044924 0 0
> lnmve | .0237916 .0237916 0 0
> nege | .0231327 .0231327 0 0
> roe | .0245178 .0245178 0 0
> acc | .0664807 .0664807 0 0
> | .0450786 .0450786 0 0
> assg | .195635 .195635 0 0
> nod | .1440675 .1440675 0 0
> dtb | .2710841 .2710841 0 0
> d1997 | -.0355099 -.0355099 0 0
> d1998 | -.0145913 -.0145913 0 0
> d1999 | .0119304 .0119304 0 0
> d2000 | -.0550707 -.0550707 0 0
> d2001 | -.1669835 -.1669835 0 0
> d2002 | .0074249 .0074249 0 0
> d2003 | .1367043 .1367043 0 0
> d2004 | .1281495 .1281495 0 0
> d2005 | .0103888 .0103888 0 0
> d2006 | -.0578083 -.0578083 0 0
> d2007 | -.020043 -.020043 0 0
> d2008 | -.0785053 -.0785053 0 0
> d2009 | -.0668654 -.0668654 0 0
> ------------------------------------------------------------------------------
> b = consdstent under Ho and Ha; obtained from xtreg B = inconsdstent under
> Ha, efficient under Ho; obtained from regress
>
> Test: Ho: difference in coefficients not systematic
>
> chi2(0) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = 0.00
> Prob>chi2 = .
> (V_b-V_B ds not positive definite)
> *
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--
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim
homepage: http://www.justinaavfischer.de/
e-mail: [email protected]
papers: http://ideas.repec.org/e/pfi55.html
*
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