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re: re:st: Hausman test


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: re:st: Hausman test
Date   Tue, 3 Jan 2012 13:39:40 -0500

<>
"the rank of the differenced variance matrix (8) does not equal the number of coefficients being tested (9)..."

The two -xtreg- model are the same. Only difference is the -fe- option in the first model. I get estimates for all the covariates in both models so I am not sure why I am getting this message. Any ideas?


Without seeing the output from both models and from the test, hard to tell. But note that xtreg, re can include time-invariant variables (such as race or gender)
while xtreg,fe will drop them. That's probably not the case, as you say you get coefficients for all variables, but there has to be some reason that the 
differenced VCE is rank-deficient. You are using the sigmamore or sigmaless option on hausman, per the help file suggestion, right?

KIt


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


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