Antwort: st: re: Hausman test results

[Justina Fischer <JFischer@diw.de>]

Statalist etiquette  says something like that one should consult the help file prior to contacting the list.
The help file contains one example that is analogous to this problem posted here.

my previous posting (12.41h local time) had the purpose of making the postee read the help file and find out himself what he did wrong...


Justina


-----owner-statalist@hsphsun2.harvard.edu schrieb: -----

An: <statalist@hsphsun2.harvard.edu>
Von: Christopher Baum <kit.baum@bc.edu>
Gesendet von: owner-statalist@hsphsun2.harvard.edu
Datum: 12.02.2011 01:02PM
Thema: st: re: Hausman test results

<>
>xtreg et1_n is e_n lnbtm_n lnmve nege roe posacc negacc assg noddtb d1997 d1998 d1999 d2000 d2001 d2002 d2003 d2004 d2005 d2006 d2007 d2008 d2009, re
estimates store re
xtreg et1_n is e_n lnbtm_n lnmve nege roe posacc negacc assg nod dtb d1997 d1998 d1999 d2000 d2001 d2002 d2003 d2004 d2005 d2006 d2007
d2008 d2009, fe
estimates store fe
hausman re fe

Your hausman command is backwards. As is evident from the output, the first argument is the estimator which is consistent under both H0 and H1. The second command is that efficient under H0 but inconsistent under H1. Those are the fe and re estimators, respectively. RTFM!

KIt

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html

An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.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/