Damiano,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 21 November 2007 06:42
> To: statalist
> Subject: Re:st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
>
> Dear Mark, thank you very much for your kind reply but I have
> to confess I am still uncertin when it comes to the actual
> operative commands. In particular, could you explain ma how a
> cluster-robust xtoverid of my xtivreg2 estimation represents
> an Hausman test for F/R effect? What's the specific code to
> be used to make the comparison?
>
> If I consider my previous equation,
>
> xtivreg2 x1 x2 x3 (x4= x5 x6), robust first fe (which is
> "robust" in the option...)
>
> and, as you say, I call for a "xtoverid, robust" or a
> "xtoverid, cluster(id)", I get only a new estimation of the
> Sargan-Hansen statistic. I mean, nothing suggest me a FEvsRE
> Hausman test.
If you look at the online help for xtoverid, you'll find a paragraph
that explains why xtoverid after xtivreg or xtreg is, in fact, an FE vs
RE test. The help file also has illustrative examples. All at your
fingertips!
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> Could you help me (hopefully, by an a short but
> illustrative example) with the next steps? Many thanks again.
>
> Damiano
>
>
> ---------- Initial Header -----------
>
> From : [email protected]
> To : [email protected]
> Cc :
> Date : Tue, 20 Nov 2007 18:57:37 -0000
> Subject : st: RE: Hausman test for FE-RE (xtivreg and xtivreg2)
>
> >
> > > -----Original Message-----
> > > From: [email protected]
> > > [mailto:[email protected]] On Behalf Of
> > > [email protected]
> > > Sent: 20 November 2007 18:24
> > > To: statalist
> > > Subject: st: Hausman test for FE-RE (xtivreg and xtivreg2)
> > >
> > > I am running (by Stata 9) a panel regression and I have used
> > > xtivreg2 with "fe" option, in order to estimate an
> equation, where
> > > one variable is endogenous. The results seem good, the
> p-values are
> > > excellent and the Hansen J statistic is reassuring.
> However, I have
> > > been said that to be sure to correctly use xtivreg2 I need to
> > > perform an Hausman test for FE vs RE first, using
> xtivreg. Is this
> > > objection correct?
> >
> > Yes and no. FE is always (under the null, anyway)
> consistent, whereas
> > RE may be more efficient but only if the extra orthogonality
> > conditions hold. Since you are happy with your results
> with FE, you
> > could just stop there. Morever, xtivreg2 (in its current
> incarnation
> > - I have an upgrade planned) will do only FE, and xtivreg
> with RE in
> > Stata 9 won't do, say, cluster-robust SEs (though that
> might have been
> > rectified in Stata 10).
> >
> > But if you want to do an FE vs RE test after xtivreg2 (or
> xtivreg, for
> > that matter) with FE, it's actually very easy: just use xtoverid,
> > downloadable from SSC in the usual way. It takes cluster
> etc options
> > so you can get a cluster-robust FE vs RE test, for example.
> >
> > Cheers,
> > Mark
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS tel
> +44-131-451-3494 / fax
> > +44-131-451-3296
> > email: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> >
> > > If
> > > yes, I don't know the correct procedure to construct this kind of
> > > test. To be clear, this was the equation I estimated:
> > >
> > > xtivreg2 x1 x2 x3 (x4= x5 x6), robust first fe
> > >
> > > how could I perform an Hausman test for FE-RE?
> > > An illustrative example would be of great help. Thank you
> in advance.
> > >
> > > D.
> > >
> > >
> > >
> > >
> > >
> > >
> > > >
> > > >
> > > > Thanks,
> > > >
> > > >
> > > >
> > > > Raoul
> > > >
> > > >
> > >
> > >
> > > *
> > > * 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/
> > >
> >
> > *
> > * 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/
> >
>
>
> *
> * 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/
>
*
* 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/
