Mark--
Try using -xtoverid-
(view http://fmwww.bc.edu/RePEc/bocode/x/xtoverid.hlp
for a preview):
ssc inst xtoverid, replace
webuse abdata
xtreg n w k if year>=1978 & year<=1982, re
xtoverid
di r(j)
est store re
xtreg n w k if year>=1978 & year<=1982, fe
est store fe
hausman fe re, sigmaless
di r(chi2)
On 8/5/08, Mark Dincecco <[email protected]> wrote:
> Dear all,
>
> I am running xtpmg regressions for mg and pmg. The problem is that
> when I run (hausman mg pmg, sigmamore), even using the (sigmamore)
> option, a negative test statistic is returned.
>
> In a 1984 Econometric article (p. 1226), Hausman and McFadden
> interpret a negative H score as strong evidence of failure to reject
> the null hypothesis that the difference in coefficient values is not
> systematic.
>
> My question is: Is there anything else I can or should try to do to
> produce a positive H statistic? Before I take the negative H score as
> evidence that IIA holds, I would like to be sure that I am not missing
> something obvious.
>
> Thanks very much. Your suggestions are be greatly appreciated.
>
> Sincerely,
> Mark
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