Hi,
I have a question related to hausman test. I once ran
a random-effects regression and got sigma_u = 0. When
I tried to use hausman test, Stata said it was an
inappropriate test since random effects has
degenerated to OLS.
My question is what causes random effects to
degenerate to an OLS.
Bude C.sasawat
--- paula garcia <[email protected]> wrote:
> Mark, thanks again. I have looked for the xthausman
> command, but stata says "(help hausman for
> replacement)". I have also tried with:
>
> xtreg y x, fe
> est store fixed
> xtreg y x, re
> hausman fixed .
>
> but the hausman statistic is still negative. How can
> I use the suest command if xtreg does not support
> the score option?
>
> Related to your second check, the sigma_u is
> different from zero.
>
> Thanks,
> Paula
>
>
> > 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.
>
> > 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
>
>
>
>
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