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| From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: RE: issues with xtoverid |
| Date | Tue, 11 Feb 2014 23:52:25 +0000 |
Ahmed, Sorry for the long lag in responding. Answer is below. > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of Abdalla, Ahmed > Sent: 03 February 2014 13:17 > To: statalist@hsphsun2.harvard.edu > Subject: st: issues with xtoverid > > Hi > I run a robust Hausman test to see which panel data model is more appropriate > for my data: > xtreg ceb wtr, re cluster(firmid) > xtoverid > > I get the error message: > Error - saved RE estimates are degenerate (sigma_u=0) and equivalent to > pooled OLS This is telling you that, indeed, your random effects estimates are not random effects estimates at all. The estimate of sigma_u=0 means that there is no variance in the panel-specific intercepts, i.e., they are all the same intercept, i.e., the model reduces to simple linear regression and the estimates are just OLS. Why Stata's official xtreg doesn't say this in the output is a good question... > However, when I run Hausman such as: > xtreg ceb wtr, fe > estimates store fixed > > xtreg ceb wtr, re > estimates store random > > hausman fixed random,sigmamore > > //since I get Prob>chi2 =0.0000 (i.e.significant p values , <0.05), I use the fixed > effect model. > > I don't get any error message ! Because (unlike xtoverid) the hausman command doesn't check the random effects results for the sigma_u=0 issue. > What is wrong with the robust version ? Nothing! HTH, Mark > > > Thanks > > > > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ ----- Sunday Times Scottish University of the Year 2011-2013 Top in the UK for student experience Fourth university in the UK and top in Scotland (National Student Survey 2012) We invite research leaders and ambitious early career researchers to join us in leading and driving research in key inter-disciplinary themes. Please see www.hw.ac.uk/researchleaders for further information and how to apply. Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/