Carl,
It would be helpful if you could provide the actual Stata output,
and/or, even better, the .do code that generates it together with a
pointer to where the Cornwell dataset can be found, preferably in
Stata format. (Assuming that the output and code is brief, which I
suspect is the case.)
Cheers,
Mark
Date sent: Mon, 22 Aug 2005 20:22:02 -0500
To: [email protected]
From: Carl Nelson <[email protected]>
Subject: st: hausman and xthausman after panel fe, re
Send reply to: [email protected]
> This question concerns problem 10.9 in Jeff Wooldridge's book
> Econometric Analysis of Cross Section and Panel Data. In this
> exercise, which I gave to some students in a course this summer, using
> Cornwell.dat students are asked to estimate xtreg, fe and xtreg, re
> and perform the hausman test. Using the old xthausman syntax the
> result is a significant test statistic (approximately 121 for a
> chisquared(11) rv). Using the newer hausman syntax the result is a
> negative chisquared statistic and warning about violation of
> assumptions. I constructed the statistic from the saved results e(b)
> and e(V) and I got the same result as the newer hausman syntax. I
> tried to look for the difference in the xthausman ado file but I
> couldn't see an obvious difference.
>
> I would appreciate any help identifying the source of the significant
> difference between the xthausman and hausman results in this instance.
>
> Carl Nelson
> UIUC
>
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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
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
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