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Re: st: Hausman test


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hausman test
Date   Mon, 28 Jan 2013 19:31:34 +0100

This means that the RE estimator is inconsistent and that you should use FE.

Best,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
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Switzerland
Tel ++41 (0)21 692-3438
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Associate Editor
The Leadership Quarterly
__________________________________________

On 28.01.2013 16:25, Carmen Blanco wrote:
Anees, I check with your suggest and Stata reports me this:

Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re
Sargan-Hansen statistic  16.833  Chi-sq(4)    P-value = 0.0021

Do you know if m model is FE or RE?

I appreciate it.

Regards

C.B.

2013/1/28 Muhammad Anees <anees@aneconomist.com>:
Before posting a search on Statalist's arhives might have suggested
you to check for -xtoverid-.
HTH
Anees

On Mon, Jan 28, 2013 at 3:49 PM, Carmen Blanco <blnco.mc@gmail.com> wrote:
Dear statalist,

I have some problem with Hausman test. When I compare between random
effects and fixed effects with Hausman test, Stata reports me this:

                   chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                           =   -45.27    chi2<0 ==> model fitted on these
                                         data fails to meet the asymptotic
                                         assumptions of the Hausman test;
                                         see suest for a generalized test

Could someone tell me, please, how to solve this problem in order to
know if my model is random or fixed effects?

Thanks

C.B.
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--

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
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