On 08/05/07, [email protected] <[email protected]> wrote:
Dear Statalist, I simple question, if I want test this hypothesis
E(ui|xi, ai)=0 wich test I use?
ai is individual effects, because I have a panel data and x is
exogenous explanatory variable
thanks a lot for your help
I don't think any panel model can give you this, because the unit
(a_i) effects are 'differenced away', and hence are unobservable. The
-xtreg- routines offers you something close to what you want. An
example:
. webuse grunfeld
. tsset company year
panel variable: company (strongly balanced)
time variable: year, 1935 to 1954
. xtreg invest mvalue kstock time, i(company) fe
Fixed-effects (within) regression Number of obs = 200
Group variable (i): company Number of groups = 10
R-sq: within = 0.7786 Obs per group: min = 20
between = 0.8108 avg = 20.0
overall = 0.8010 max = 20
F(3,187) = 219.16
corr(u_i, Xb) = -0.2367 Prob > F = 0.0000
------------------------------------------------------------------------------
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1107207 .0115852 9.56 0.000 .0878662 .1335751
kstock | .3535765 .0218494 16.18 0.000 .3104735 .3966795
time | -2.664218 .843852 -3.16 0.002 -4.328911 -.9995244
_cons | -43.42509 13.09867 -3.32 0.001 -69.26524 -17.58495
-------------+----------------------------------------------------------------
sigma_u | 89.64192
sigma_e | 51.552705
rho | .75146422 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(9, 187) = 52.51 Prob > F = 0.0000
Here, our diagnostic of interest does _not_ equal zero. One thing that
would be nice to have here is a p-statistic. But, then, not everybody
is mustard-keen on significance tests!
--
HTH,
Clive Nicholas
*
* 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/
