Dear all,
When I perform a hausman test after using xtivreg, fe and xtivreg, re I
get a message in the end which says "V_b-V_B is not positive definite":
. hausman fe re
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
racionettax | .1282918 .1374477 -.0091559 .
ilt | .0442928 .1231377 -.0788449 .0198359
lags | .7338 .8924503 -.1586503 .0199258
outputgap | .1484418 .0675944 .0808473 .
racio_g | -.580745 -.2084519 -.3722931 .0463222
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from
xtivreg
B = inconsistent under Ha, efficient under Ho; obtained from
xtivreg
Test: Ho: difference in coefficients not systematic
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 72.33
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)
There is a remark in the stata help for hausman which says:
Hausman's test is based on estimating the variance var(b-B) of the
difference of the estimators by the difference var(b)-var(B) of the
variances. Under the assumptions (1) and (3), var(b)-var(B) is a
consistent estimator of var(b-B), but it is not necessarily positive
definite "in finite samples", i.e., in your application. If this is the
case, the Hausman test is undefined. Unfortunately, this is not a rare
event. Stata supports a generalized Hausman test that overcomes both of
these problems. See suest for details.
Apparently, I should use suest but I cannot perform it. Can anyone help me?
Best regards,
Sofia.
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