Dear all,
I am using xtivreg to estimate a random effects panel data model. I
have one endogenous variable and one excluded instrument. In order to
test for endogeneity, I am using the Hausman test with the sigmamore
option. When I do this, the Hausman test says that V_b-V_B is not
positive definite.
I would like to know your thoughts on the following:
1- What can be done to correct this?
2- Is there an "xtivreg2"?
Thank you for your help,
Joana
I enclose the output:
-------------output-----------------------
. xtivreg loda_pc lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
japan_un_friend_p Pperiod*
> y_colony (corrupt=ethnic), re
G2SLS random-effects IV regression Number of obs = 111
Group variable: id Number of groups = 31
R-sq: within = 0.5063 Obs per group: min = 1
between = 0.6333 avg = 3.6
overall = 0.6213 max = 4
Wald chi2(11) = 113.34
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
loda_pc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
corrupt | -.0429657 .1066427 -0.40 0.687 -.2519815 .1660502
lgdp_pc_d | .0428328 .1272094 0.34 0.736 -.2064931 .2921586
lpop | -.510157 .104499 -4.88 0.000 -.7149711 -.3053428
trade_gdp | .0053404 .0024281 2.20 0.028 .0005813 .0100994
polityp | .0140851 .0081874 1.72 0.085 -.0019619 .0301322
us_un_frie~p | -.5324777 .4733456 -1.12 0.261 -1.460218 .3952627
japan_un_f~p | 2.920518 .8081029 3.61 0.000 1.336666 4.504371
Pperiod_1 | .4201038 .2109389 1.99 0.046 .0066712 .8335365
Pperiod_2 | .0078534 .1087593 0.07 0.942 -.2053109 .2210178
Pperiod_4 | -.2225596 .2035832 -1.09 0.274 -.6215754 .1764562
y_colony | .0006514 .0069568 0.09 0.925 -.0129837 .0142864
_cons | -.8395967 1.498147 -0.56 0.575 -3.775911 2.096718
-------------+----------------------------------------------------------------
sigma_u | .58004628
sigma_e | .28688419
rho | .80345955 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented: corrupt
Instruments: lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
japan_un_friend_p Pperiod_1
Pperiod_2 Pperiod_4 y_colony ethnic
. est store ivrandom
. xtreg loda_pc lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
japan_un_friend_p corrupt Pp
> eriod* y_colony , re
Random-effects GLS regression Number of obs = 111
Group variable (i): id Number of groups = 31
R-sq: within = 0.5303 Obs per group: min = 1
between = 0.6426 avg = 3.6
overall = 0.6435 max = 4
Random effects u_i ~ Gaussian Wald chi2(11) = 128.55
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
loda_pc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lgdp_pc_d | .0181293 .1191414 0.15 0.879 -.2153837 .2516422
lpop | -.5275332 .102472 -5.15 0.000 -.7283747 -.3266917
trade_gdp | .0048886 .0022066 2.22 0.027 .0005637 .0092135
polityp | .0143393 .0079024 1.81 0.070 -.0011491 .0298277
us_un_frie~p | -.4735392 .4488587 -1.05 0.291 -1.353286 .4062077
japan_un_f~p | 3.167958 .6942995 4.56 0.000 1.807156 4.52876
corrupt | -.1162393 .033678 -3.45 0.001 -.1822469 -.0502316
Pperiod_1 | .5098709 .1617323 3.15 0.002 .1928815 .8268603
Pperiod_2 | .0336761 .0990239 0.34 0.734 -.1604072 .2277594
Pperiod_4 | -.2379928 .1948569 -1.22 0.222 -.6199053 .1439197
y_colony | -.0014819 .0065505 -0.23 0.821 -.0143206 .0113568
_cons | -.5709694 1.406288 -0.41 0.685 -3.327243 2.185304
-------------+----------------------------------------------------------------
sigma_u | .57088029
sigma_e | .26203147
rho | .82598424 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. est store random
. hausman ivrandom random, sigmamore
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| ivrandom random Difference S.E.
-------------+----------------------------------------------------------------
corrupt | -.0429657 -.1162393 .0732736 .0281962
lgdp_pc_d | .0428328 .0181293 .0247035 .
lpop | -.510157 -.5275332 .0173762 .
trade_gdp | .0053404 .0048886 .0004518 .
polityp | .0140851 .0143393 -.0002542 .
us_un_frie~p | -.5324777 -.4735392 -.0589386 .
japan_un_f~p | 2.920518 3.167958 -.2474397 .
Pperiod_1 | .4201038 .5098709 -.0897671 .
Pperiod_2 | .0078534 .0336761 -.0258227 .
Pperiod_4 | -.2225596 -.2379928 .0154332 .
y_colony | .0006514 -.0014819 .0021332 .
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtivreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 6.74
Prob>chi2 = 0.8201
(V_b-V_B is not positive definite)
-------
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
