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From | Muhammad Anees <aneesmkhattak@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: Hausman Test Problems |
Date | Mon, 2 May 2011 13:56:29 +0500 |
Thanks Eric! It did worked for me. I actually run the regressions without pretesting it for any overidentification. Can I still follow any procedure selecting one of the FE and RE using over identified panel data regressions. On 2 May 2011 12:44, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote: > 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/ > -- 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/