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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 11:57:49 -0400

Caliph Omar Moumin <[email protected]>:
You may also want a less parametric form for duration e.g. dummies for
each duration.

On Mon, May 7, 2012 at 11:37 AM, Austin Nichols <[email protected]> wrote:
> 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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