Thomas,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Thomas Erdmann
> Sent: Thursday, January 18, 2007 3:21 PM
> To: [email protected]
> Subject: st: Panel re vs. fe model
>
> Hi -
>
> The drawbacks of Hausman test regarding its asymptotic
> assumptions or in a cluster setting are discussed at several
> points in the Statalist.
>
> e.g. http://www.stata.com/statalist/archive/2005-08/msg00741.html
> or several others by e.g. searching for "fe re cluster
> Hausman" in the archives.
>
> My conclusion would be that using -suest- would be a good
> alternative but is not possible because -xtreg, fe- does not
> produce scores. I found another alternative described here,
> http://www.stata.com/statalist/archive/2005-08/msg00853.html
> where Vince Wiggins suggests using an artificial regression
> (find below).
>
> Two questions:
>
> (1) Regarding the code below, could you just add the
> -cluster()- option as further option and would the artificial
> regression still make sense?
Yes.
> (2) Are there yet other alternatives to the Hausman test in
> this setting?
The difference between the FE and RE specification is that the latter
uses more orthogonality conditions, and the Hausman test in this context
is just a GMM test of these extra orthogonality conditions. If you want
to test something else, then I suppose you would use an alternative
test, but I'm not sure what the something else would be.
Cheers,
Mark
> Thanks for your feedback,
> Tom
>
>
> ---------------------------------- BEGIN --- artreg.do ---
> CUT HERE ------- local id idcode local depvar ln_wage local
> varlist ttl_exp union white
>
> iis `id'
> xtreg `depvar' `varlist' , re
>
> local i 0
> foreach var of varlist `varlist' {
> egen mymean`++i' = mean(`var') if e(sample), by(`id') }
>
> xtreg `depvar' `varlist' mymean1-mymean`i' , re
>
> testparm mymean1-mymean`i'
> ---------------------------------- END --- artreg.do ---
> CUT HERE -------
>
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