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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | re: st: two way model and -xtoverid |
Date | Sat, 17 Sep 2011 05:43:35 -0400 |
<> The -xtreg estimate implies FE for years but RE for individuals. The command -xtoverid does not work when I want to test whether I should use FE or RE. If I use dummy variables, I can go around he problem: xtreg Y X1 X2 t2-tT, robust re xtoverid where t2-tT are the dummy variables for T-1 years. However, I raise the issue here to ask if anyone knows if there is any good reason -xtoverid does not want to perform the test. Schaffer and Stillman's -xtoverid- (SSC) was written before the advent of factor variables, so it does not understand the names Stata makes up for them. There is an easy fix. While xtreg n w i.year,re xtoverid does not work, the old-style-xi- syntax (implying the same model) does. Using abdata: xi: xtreg n w i.year,re xtoverid Test of overidentifying restrictions: fixed vs random effects Cross-section time-series model: xtreg re Sargan-Hansen statistic 13.969 Chi-sq(5) P-value = 0.0158 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/