I wrote an implementation of the regression-based test described on
pages 290-291 of Wooldridge (2002).
Basically, the program estimates equation (10.79) on page 290, and then
tests the hypothesis that the coefficients of the de-meaned variables
(or a subset of the de-meaned variables) are null. This is the procedure
suggested by Wooldridge on page 291, paragraph 2.
I haven't read the post by Vince Wiggins yest, so I don't know we
implemented the same test.
If you would like to try the ado, send me an email at [email protected].
However, I must point out that I cannot guarantee that I will respond to
support requests.
Jean Salvati
Reference:
Jeffrey M. Wooldridge (2002), "Econometric Analysis of Cross Section and
Panel Data", MIT Press.
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Joana Quina
> Sent: Thursday, October 20, 2005 4:25 PM
> To: [email protected]
> Subject: Re: st: Hausman and robustification?
>
> Aurora,
>
> I had a similar problem a while ago. Vince Wiggins provided
> a very useful suggestion - an asymptotically equivalent test
> for random vs.
> fixed effects using an augmented regression (Hausman and
> Taylor, 1981).
> You can find the code in this post:
> http://www.stata.com/statalist/archive/2005-08/msg00853.html
>
> I suggest you read the thread of this post and any references therein.
>
> I hope this helps,
>
> Best regards,
> Joana
>
> On 20/10/05, Aurora Mordonu <[email protected]> wrote:
> > Hi,
> >
> >
> >
> > Using a Hausman test, I would like to decide whether I
> should take a
> > fixed effect or a random effect model. Correcting for
> > hereroskedasticity (I take fe robust and re robust) implies
> that the
> > Hausman test fails to meet the asymptotic conditions. So I
> get the following message:
> >
> > model fitted on these
> >
> > data fails to meet the
> > asymptotic
> >
> > assumptions of the Hausman
> > test;
> >
> > see suest for a generalized
> > test
> >
> >
> >
> >
> >
> >
> >
> > Consequently, I try to use suest, but I get the following message:
> >
> > unable to generate scores for model fixed
> >
> > suest requires that predict allow the score option
> >
> > r(322);
> >
> > Could anybody tell me how to decide on a FE or a RE model in this
> > case? This happens only after I correct for heteroskedasticity.
> >
> > Any hint would be very appreciated!!
> >
> >
> >
> > Thank you,
> >
> > Aurora
> >
> > --
> >
> > *
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> >
>
> *
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*
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