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st: Hausman Taylor estimation


From   momo <mmsabra@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman Taylor estimation
Date   Sat, 12 Feb 2011 06:00:31 -0800 (PST)

Dear Listers

I'm performing a panel data regression across ten countries and sixteen
years in Stata.

I got the next results for HT estimation, the wald chi2 for the first
equation doesn't appear, so what could be the problem.

and what could the (rho) means which is very high in the both equations
tests.


Hausman-Taylor estimation                       Number of obs      =      
160
Group variable: id                              Number of groups   =       
10
 
                                                Obs per group: min =       
16
                                                               avg =       
16
                                                               max =       
16
 
Random effects u_i ~ i.i.d.                     Wald chi2(8)       =        
.
                                                Prob > chi2        =        
.
 
------------------------------------------------------------------------------
       logd2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
TVexogenous  |
    openness |   2.539739    .886033     2.87   0.004     .8031464   
4.276332
  lnexchrate |  -.2779103    .158728    -1.75   0.080    -.5890115   
.0331909
         RLF |    2.03592   .4653397     4.38   0.000     1.123871   
2.947969
        SIMI |   3.351891   .4614706     7.26   0.000     2.447425   
4.256357
         gro |   .0256321   .0271989     0.94   0.346    -.0276767   
.0789409
      logEFI |   1.809185   1.047703     1.73   0.084     -.244274   
3.862644
TVendogenous |
       logd1 |  -.1425102   .2947463    -0.48   0.629    -.7202023   
.4351818
TIexogenous  |
    logdistw |  -1.532973     .81225    -1.89   0.059    -3.124954   
.0590077
-------------+----------------------------------------------------------------
     sigma_u |  2.6783898
     sigma_e |  .85960498
         rho |  .90661577   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.
 
.
 
Hausman-Taylor estimation                       Number of obs      =      
160
Group variable: id                              Number of groups   =       
10
 
                                                Obs per group: min =       
16
                                                               avg =       
16
                                                               max =       
16
 
Random effects u_i ~ i.i.d.                     Wald chi2(8)       =   
312.50
                                                Prob > chi2        =   
0.0000
 
------------------------------------------------------------------------------
       logd1 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
TVexogenous  |
    openness |   .7307054   .2359539     3.10   0.002     .2682443   
1.193167
  lnexchrate |   .1404864   .0422915     3.32   0.001     .0575965   
.2233763
         RLF |   .5934485   .1207707     4.91   0.000     .3567423   
.8301548
        SIMI |    .877719   .1248755     7.03   0.000     .6329676    
1.12247
         gro |   .0005663   .0071505     0.08   0.937    -.0134485    
.014581
         efi |  -.0090077   .0056817    -1.59   0.113    -.0201437   
.0021283
TVendogenous |
       logd2 |  -.0041103   .0214061    -0.19   0.848    -.0460655   
.0378448
TIexogenous  |
    logdistw |  -2.107877    .789473    -2.67   0.008    -3.655216  
-.5605383
             |
       _cons |   19.61914   6.154651     3.19   0.001     7.556249   
31.68204
-------------+----------------------------------------------------------------
     sigma_u |  .85479597
     sigma_e |  .22388798
         rho |  .93580213   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.
 
 Thank you very much
-- 
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