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Re: RE: st: RE: hausman test results
From
"Justina Fischer" <[email protected]>
To
[email protected]
Subject
Re: RE: st: RE: hausman test results
Date
Sat, 12 Feb 2011 11:08:58 +0100
well,, read what stata says: you are violating one of the assumptions of the Hausman test so that the calculated value has no meaning.
without providing the code in the do-file it is difficult to see where this might come from.
Justina
-------- Original-Nachricht --------
> Datum: Sat, 12 Feb 2011 10:54:02 +0100
> Von: Jan Lid <[email protected]>
> An: [email protected]
> Betreff: RE: st: RE: hausman test results
> you were right. I did do something wrong as my results are different this
> time. But i still don't know what this mean. Is a random effect model valid
> or nor valid? Says h0 efficient? So random effect valid?
>
> Help very much appreciated
>
> ---- Coefficients ----
> | (b) (B) (b-B) sqrt(diag(V_b-V_B))
> | re fe Difference S.E.
> -------------+----------------------------------------------------------------
> is | .0027526 -.0002958 .0030484 .
> e_n | -.0676737 -.0452386 -.0224351 .
> lnbtm_n | -.0189196 -.0295569 .0106373 .
> lnmve | .0003718 -.0020215 .0023934 .
> nege | .0230284 .0271639 -.0041354 .
> roe | -.1102508 -.1590028 .048752 .
> posacc | .0300681 .0251275 .0049406 .
> negacc | .0330714 .0297334 .003338 .
> assg | -.0025524 -.003037 .0004845 .
> nod | -.0077827 -.0047668 -.0030159 .
> dtb | .0600797 .0627425 -.0026628 .
> d1997 | -.0086867 -.0100742 .0013876 .0011561
> d1998 | -.0140629 -.0170658 .0030029 .0000744
> d1999 | -.0008133 -.0049143 .004101 .
> d2000 | -.0077408 -.0097045 .0019636 .
> d2001 | -.0234343 -.0232871 -.0001472 .
> d2002 | -.0116084 -.0147064 .0030979 .
> d2003 | .0045587 .0039078 .000651 .
> d2004 | .002967 .0033895 -.0004225 .
> d2005 | .0034413 .0058742 -.0024328 .
> d2006 | .0036623 .0052834 -.0016211 .
> d2007 | .0006761 .0029451 -.002269 .
> d2008 | -.0116638 -.0092098 -.002454 .
> d2009 | -.0007347 .0024991 -.0032338 .
> ------------------------------------------------------------------------------
> b = consistent under Ho and Ha; obtained from xtreg
> B = inconsistent under Ha, efficient under Ho; obtained from xtreg
> Test: Ho: difference in coefficients not systematic
> chi2(24) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = -91.23 chi2<0 ==> model fitted on these
> data fails to meet the asymptotic
> assumptions of the Hausman test;
> see suest for a generalized test
>
>
>
>
> > Date: Fri, 11 Feb 2011 21:31:27 +0100
> > From: [email protected]
> > Subject: Re: st: RE: hausman test results
> > To: [email protected]
> >
> > 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)
> > > *
> > > * 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/
> >
> > --
> > 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
> >
> >
> > *
> > * 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/
--
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
*
* 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/