Dear Mark and Gustavo,
Thank you for your advice. Your recommendations have actually helped me
generate positive results which culminated in rejecting the Ho for the
Hausman test. Yet, the two respective options sigmamore and sigmaless,
produced different results; namely,
Sigmaless produced:
chi2(46) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 794.29
Prob>chi2 = 0.0000
and
sigmamore produced:
chi2(46) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 678.25
Prob>chi2 = 0.0000
I therefore have two questions:
1) Which result should I include in my analysis?
2) Shouldn't they have different Df since the two options are based on
different covariance matrices?
Yours truly,
Pavlos
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Gustavo Sanchez
Sent: Monday, October 16, 2006 8:37 PM
To: [email protected]
Subject: st: RE: Negative Hausman value?
Pavlos C. Symeou [[email protected]] asked about the Hausman test
produced by -hausman-,
> I attempt to compare between FE and RE transformations in Stata using the
> hausman command, yet the chi^2 for the test is negative (how can a square
be
> negative?).
Mark Schaffer [[email protected]] diagnosed the problem when he
explained:
> This can happen in finite samples, unless the same estimate of the error
> variance is used throughout the H statistic - see, e.g., Baum et al.
> (2003) in the Stata Journal or the Boston College working paper version.
> This can generally be handled in Stata with the -sigmamore- or
> -sigmaless- options to the -hausman- command. What I am not sure of is
> whether -xtreg- stores the right sigma internally in the right place
> where -hausman- can make use of it. I have a vague memory that in
> earlier version of Stata, -xtreg- did not store sigma in a way that was
> compatible with this option, but maybe that's been fixed. You need to
> check.
Those two options (sigmamore and sigmaless) are actually supported by the
-hausman- command after fitting the model with -xtreg-. They were part of
the features incorporated in Stata 9.1
-- Gustavo
[email protected]
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