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Re: st: Breusch and Pagan Lagrangian multiplier test for random effects
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: Breusch and Pagan Lagrangian multiplier test for random effects
Date
Mon, 7 May 2012 11:37:56 -0400
Caliph Omar Moumin <[email protected]>:
92 percent of your sample has only one observation in the first time
period, then you have a few cases with longer durations? Only
duration varies across cases? I would use pooled OLS and cluster on
id, myself. Is cost a nonnegative depvar? In that case, you may
prefer glm with a log link:
http://www.stata.com/meeting/boston10/boston10_nichols.pdf
http://blog.stata.com/2011/08/22/use-poisson-rather-than-regress-tell-a-friend/
On Sat, May 5, 2012 at 10:22 AM, Caliph Omar Moumin
<[email protected]> wrote:
> Dear all
>
> For the past two weeks i spent to decide whether i apply fixed effect or random effect model in my strongly unbalanced panel data. But I couldn't decide it.
> These are the tests i applied so could you please give a minute and advice me what to apply? I understood the my hausman test impllies that i can apply either fixed or random effect modells. Is that so? If that is correct then i choose to apply the random effect model becuase of some time in-variant involved.
>
> What about Breusch-Pagan Lagrange multiplier (LM) test? I have no clue as to how interperate this test? Could any help me?
>
> xtdescribe
> id: 6, 9, ..., 809378 n = 14503
> nadmission1: 1, 2, ..., 16 T = 16
> Delta(nadmission1) = 1 unit
> Span(nadmission1) = 16 periods
> (id*nadmission1 uniquely identifies each observation)
> Distribution of T_i: min 5% 25% 50% 75% 95% max
> 1 1 1 1 1 2 16
> Freq. Percent Cum. | Pattern
> ---------------------------+------------------
> 13302 91.72 91.72 | 1...............
> 797 5.50 97.21 | 11..............
> 160 1.10 98.32 | 111.............
> 97 0.67 98.99 | 1111............
> 58 0.40 99.39 | 11111...........
> 31 0.21 99.60 | 111111..........
> 29 0.20 99.80 | 1111111.........
> 12 0.08 99.88 | 11111111........
> 8 0.06 99.94 | 111111111.......
> 9 0.06 100.00 | (other patterns)
> ---------------------------+------------------
> 14503 100.00 | XXXXXXXXXXXXXXXX
>
> I want to compare between this two groups
> xttab group;
> Overall Between Within
> group | Freq. Percent Freq. Percent Percent
> ----------+-----------------------------------------------------
> alcohol | 275 1.64 191 1.32 100.00
> nonalcoh | 16443 98.36 14312 98.68 100.00
> ----------+-----------------------------------------------------
> Total | 16718 100.00 14503 100.00 100.00
> (n = 14503)
>
>
>
> .quietly xtreg cost duration sex age group, fe;
> . estimates store fixed;
> . quietly xtreg cost duration sex age group, re;
> . estimates store random;
> hausman fixed random;
> ---- Coefficients ----
> | (b) (B) (b-B) sqrt(diag(V_b-V_B))
> | fixed random Difference S.E.
> -------------+----------------------------------------------------------------
> duration | 874.4642 944.5754 -70.11117 84.24204
> ------------------------------------------------------------------------------
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