Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
re:re: re:st: Hausman test |

Date |
Tue, 3 Jan 2012 16:07:53 -0500 |

<> Random-effects GLS regression Number of obs = 416 Group variable: fam Number of groups = 9 R-sq: within = 0.1185 Obs per group: min = 27 between = 0.8693 avg = 46.2 overall = 0.6005 max = 73 Wald chi2(9) = 610.15 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ chol | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- l1 | 6.341376 1.317354 4.81 0.000 3.75941 8.923342 l2 | -.170823 .0489787 -3.49 0.000 -.2668195 -.0748265 l3 | .0016893 .000569 2.97 0.003 .000574 .0028046 2.sex | 3.77881 .8776635 4.31 0.000 2.058621 5.498999 | marker | 2 | -1.579155 1.217692 -1.30 0.195 -3.965788 .8074783 3 | -1.128749 1.26016 -0.90 0.370 -3.598617 1.34112 4 | 1.295496 2.350917 0.55 0.582 -3.312217 5.903209 5 | -.8996998 1.409237 -0.64 0.523 -3.661753 1.862353 6 | 11.06828 3.289858 3.36 0.001 4.620282 17.51629 | _cons | -16.71301 11.0348 -1.51 0.130 -38.34082 4.914797 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | 8.1937869 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ You have a corner solution. As you know, the estimates of the two error variances in RE are 'backed out' from estimates of other forms of the model. In your case, the estimate of sigma_u (and its square) is 0.0. That is nonsensical, as the FE form of the same model gives a meaningfully positive variance and the F-test for unobserved heterogeneity shows: sigma_u | 5.0827273 sigma_e | 8.1937869 rho | .27786908 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(8, 398) = 9.45 Prob > F = 0.0000 indicating that there are significant panel-specific effects (that is, unobserved heterogeneity). A further reason to disregard the RE estimates, as you can't very well report the error components variances with one of them equal to zero (which it patently should not be; if it truly was, pooled OLS would be appropriate, but FE says it surely would not be so). This is probably the reason for the singularity of the Hausman VCE. Cheers 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 * * 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/

**Follow-Ups**:**re:re: re:st: Hausman test***From:*Ricardo Ovaldia <ovaldia@yahoo.com>

- Prev by Date:
**Re: st: St : Regression discontinuity with Dichotomous dependent variable** - Next by Date:
**Re: st: St : Regression discontinuity with Dichotomous dependent variable** - Previous by thread:
**RE: re:st: Hausman test** - Next by thread:
**re:re: re:st: Hausman test** - Index(es):