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re: st: two way model and -xtoverid

From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
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

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

does not work, the old-style-xi- syntax (implying the same model) does. Using abdata:

xi: xtreg n w i.year,re

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   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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