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st: generalized test alternative to Hausman

From   "Pasquale Pazienza" <[email protected]>
To   [email protected]
Subject   st: generalized test alternative to Hausman
Date   Mon, 5 Sep 2011 21:51:51 +0200

Dear Sir/Madam,

in dealing with my panel-data analysis I found a problem when running the Hausman test 
for the choice between RE and FE. The outcome is:

chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)= -25.37
chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the 
Hausman test; see suest for a generalized test

In the various topics treated in STATALIST, I found a reply dated 2 October 2003 to 
a question posted by Joana Quina and representing a similar problem.

Following the suggested command and procedure (I report here below) I am not able to 
generate any useful results, since what I get is just the indication of 
<<invalid 'colnumb'>> when I run command no. 11 (here below), which - of course - does 
not allow me to run command 12. 

More specifically, according to the given hints I use the following commands:

1) local id my id

2) local depvar Ln_CO2sct

3) local varlist Ln_GDPsct_pw Ln_GDPsct_pw2 Ln_FLWsct_pGDP Ln_SCTrel_2 Ln_GCF_pw 
Ln_edu Ln_MKTopn_2 Ln_1_CRpr_GDP_1

4) xtreg `depvar' `varlist', re

5) hausman, save

6) xtreg `depvar' `varlist', fe

7) hausman, less

8) tokenize `varlist'

9) local i 1 while "``i''" != "" {qui by `id':  gen double mean`i' = sum(``i'') / _n 
qui by `id':  replace mean`i' = mean`i'[_n] qui by `id':  gen double diff`i' = ``i'' - 
mean`i' local newlist `newlist' mean`i' diff`i' local i = `i' + 1}

10) xtreg `depvar' `newlist', re

11) qui test mean1 = mean1 , notest /* clear test */ local i 2 while "``i''" != "" {if 
`b'[1, colnumb (`b', "mean`i'")] != 0 & /**/ `b'[1, colnumb (`b', "diff`i'")] != 0 
{qui test mean`i' = diff`i', accum notest} local i = `i' + 1}

12) test

I would really appreciate to receive any help to solve this problem.
Thanks in advance.



(in Italy)                                (in UK)
Università degli Studi di Foggia          Department of Economics and Finance 
Facoltà di Economia (DSEMS)               Durham University 
Largo Papa Giovanni Paolo II n. 1         23/26 Old Elvet  
71100 Foggia (Italy)                      Durham DH1 3HY
E-mail: <[email protected]>             E-mail: <[email protected]>

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