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| From | DE SOUZA Eric <eric.de_souza@coleurope.eu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: RE: Hausman Test Problems |
| Date | Mon, 2 May 2011 09:44:02 +0200 |
The Hausman test for fixed vs random is only valid under a strict set of assumptions. These assumptions are clearly not satisfied in your case . Use -xtoverid-. Download it from ssc: -ssc install xtoverid- and read the help file first. Eric de Souza College of Europe Brugge (Bruges), Belgium http://www.coleurope.eu -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Muhammad Anees Sent: 02 May 2011 06:12 To: statalist@hsphsun2.harvard.edu Subject: st: Hausman Test Problems Dear All! I have run a panel data regression and selection of the random effects or fixed effects using Hausman test. I do not know what is the actual problem with my results. Please could someone help. Why the result for my hausman command results in warning message? the complete results are below: . xtreg priceclose eps bookvalue, fe Fixed-effects (within) regression Number of obs = 850 Group variable: id Number of groups = 170 R-sq: within = 0.1160 Obs per group: min = 5 between = 0.5266 avg = 5.0 overall = 0.4645 max = 5 F(2,678) = 44.48 corr(u_i, Xb) = 0.4836 Prob > F = 0.0000 priceclose Coef. Std. Err. t P>t [95% Conf. Interval] eps .7770481 .1966364 3.95 0.000 .3909585 1.163138 bookvalue .8653121 .1577343 5.49 0.000 .5556057 1.175018 _cons 1.001173 .1176642 8.51 0.000 .7701434 1.232204 sigma_u 3.5662704 sigma_e 1.5953308 rho .83325562 (fraction of variance due to u_i) F test that all u_i=0: F(169, 678) = 17.34 Prob > F = 0.0000 . . estimates store fe . . xtreg priceclose eps bookvalue, re Random-effects GLS regression Number of obs = 850 Group variable: id Number of groups = 170 R-sq: within = 0.1159 Obs per group: min = 5 between = 0.5186 avg = 5.0 overall = 0.4593 max = 5 Random effects u_i ~ Gaussian Wald chi2(2) = 297.79 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 priceclose Coef. Std. Err. z P>z [95% Conf. Interval] eps 1.113035 .2084971 5.34 0.000 .7043883 1.521682 bookvalue 1.394302 .1196459 11.65 0.000 1.159801 1.628804 _cons .5629992 .2070207 2.72 0.007 .1572462 .9687522 sigma_u 2.1242726 sigma_e 1.5953308 rho .63938518 (fraction of variance due to u_i) . . estimates store re . . hausman fe re ---- Coefficients ---- (b) (B) (b-B) sqrt(diag(V_b-V_B)) fe re Difference S.E. eps .7770481 1.113035 -.3359869 . bookvalue .8653121 1.394302 -.5289903 .102786 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(2) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -15.59 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test -- Muhammad Anees MSc in Economics The University of Sheffield United Kingdom * * 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/