Re: st: xthausman after xtivreg, fe/re

["Katarina Lynch" <ferkel999@hotmail.com>]

sorry.

here is what I do:

. xtivreg y x1 x2 x3, fe
. xtivreg y x1 x2 x3
. xthausman

just like in regressions without IVs (-xtreg, fe and -xtreg, re) I wanted to 
run the Hausman test in order to decide which model (FE or RE) is a better 
specification. Normally, in regressions without IVs the xthausman test shows 
whether the coefficients between FE and RE are big. If they are not 
systematically different, we can conclude that fixed effects are not 
correlated to regressors and thus RE is preferred.

When I instrument some variables, my FE and RE estimates do not look 
dramatically different and I wanted to confirm this visual conclusion with  
a test, which would help me decide whether FE or RE model should be chosen 
to describe the relationship between y and x.

Many thanks!





> From: Mark Schaffer <M.E.Schaffer@hw.ac.uk>
> To: statalist@hsphsun2.harvard.edu, Katarina Lynch <ferkel999@hotmail.com>
> Subject: Re: st: xthausman after xtivreg, fe/re
> Date: Sat, 18 Dec 2004 11:59:21 +0000 (GMT)
>
> Katarina,
>
> Quoting Katarina Lynch <ferkel999@hotmail.com>:
>
> > I wanted to run xthausman test after xtivreg, fe and xtivreg, re but
> > receive an error saying
> >
> > last estimates not found
> > r(301);
> >
> > can one run this test after instrumental variables fixed/random
> > effects regressions?
>
> No, you need to use -hausman- instead.
>
> --Mark
>
> >
> > thanks!
> >
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>
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
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