Paula,
To: [email protected]
From: paula garcia <[email protected]>
Date sent: Mon, 29 Sep 2003 19:01:12 -0400
Subject: re: Re: st: panel data hausman negative
Send reply to: [email protected]
> Mark, thanks for your answer. The problem is the following.
>
> I want to know if the best estimation is a fixed or a random
> effects. So I use the Hausman test:
>
> xtreg y x, fe
> hausman, save
> xtreg y x, re
> hausman
>
> I want to run three versions of models, and they have more
> or less the same variables. In the first two, the p-value of
> Hausman is 0.0000, so I use xtreg, fe. However, when I run
> the third model, the HAusman statistic is negative.
A couple of checks:
- Do you get the same results if you use the built-in -xthausman-
command?
- Have you checked to see if your random effects estimation has
inadvertently reduced to pooled OLS? This will show up as sigma_u=0.
--Mark
> I have
> read that this means that with my sample, I have no evidence
> to reject the null, so I would have to make a random effects
> for this third model.
>
> However, for me is strange the result on the third model
> (random effect), since more or less the variables are the
> same ones than in the first two models, and the population
> is, of course, the same. So I would like to test the
> hypothesis of random effects by means of other command,
> like suest.
>
> Thank you in advance.
> Paula
>
> > -------
> > to: Mark Schaffer <[email protected]>
> > cc:
> > date: 9/29/2003 10:01:00 PM
> > subject: Re: st: panel data hausman negative
> >
> > Paula,
> > >
> > > Quoting paula garcia <[email protected]>:
> > >
> > > > Hi all,
> > > >
> > > > I would be very grateful if someone could give a hint on
> > the following.
> > > >
> > > > I have a panel data set and, when using the hausman
> > test, I do not get a useful result (chi2 is negative). I
> > know about the command suest. But to use suest the estimation must
> > have been undertaken using a "score()" option. But as far as I can
> > see this "score()"
> > > > option is not defined for "xtreg".
> > >
> > > Can you give us a more detailed description of what
> > hypotheses you're testing? Sometimes the Hausman statistic
> > is guaranteed to be positive, and if you're getting a
> > negative number it's a sign that something's
> > > wrong. Other times a negative Hausman statistic is possible, and
> > > can be interpreted as simply being below the relevant critical
> > > value, i.e., you fail to reject the null. It all depends on the
> > > application.
> > >
> > > --Mark
> > >
> > > >
> > > > Any help is very much wellcomed.
> > > >
> > > > Thank you.
> > > >
> > > > Paula
> > > >
> > >
> > > Prof. Mark Schaffer
> > > Director, CERT
> > > Department of Economics
> > > School of Management & Languages
> > > Heriot-Watt University, Edinburgh EH14 4AS
> > > tel 44-131-451-3494 / fax 44-131-451-3008
> > > email: [email protected]
> > > web: http://www.sml.hw.ac.uk/ecomes
> > >
>
>
>
> _________________________________________________________
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>
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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