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re:re: re:st: Hausman test
From
Ricardo Ovaldia <[email protected]>
To
[email protected]
Subject
re:re: re:st: Hausman test
Date
Tue, 3 Jan 2012 15:37:49 -0800 (PST)
Thank you Kit. That helped a lot.
Ricardo
Ricardo Ovaldia, MS
Statistician
Oklahoma City, OK
--- On Tue, 1/3/12, Christopher Baum <[email protected]> wrote:
> From: Christopher Baum <[email protected]>
> Subject: re:re: re:st: Hausman test
> To: "[email protected]" <[email protected]>
> Date: Tuesday, January 3, 2012, 3:07 PM
> <>
> 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
>
>
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