Alexandra,
Which version of Stata, updated when, are you using? Use the -update-
command to find out.
I've just checked, and official -xtreg- was modified to work with the
-sigmamore- and -sigmaless- options in the Stata 9 ado update of 15
September 2005.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Alexandra Guisinger
> Sent: Monday, September 01, 2008 3:27 PM
> To: [email protected]
> Subject: st: "V_b-V_B is not positive definite" / XTOVERID
>
> I originally sent this message on Friday; but having seen no
> evidence that it was distributed and having read the posts
> about statalist problems, I am resending. I apologize if this
> results in a duplicate message.
>
>
> ---------- Forwarded message ----------
> From: Alexandra Guisinger <[email protected]>
> Date: Fri, Aug 29, 2008 at 10:48 AM
> Subject: "V_b-V_B is not positive definite" / XTOVERID
> To: [email protected]
>
>
> I have an unbalanced panel of economic and policy data for
> 110 countries over the last three decades. While I was trying
> to determine whether a RE specification was reasonable, the
> hausman command returned "V_b-V_B is not positive definite"
> when provided my stored xtreg, fe and xtreg, re estimates.
> Having no success I turned to the artificial regression
> approach as implemented by Schaffer (2006) in the xtoverid
> command. This led to the discussion below about the
> acceptability of unbalanced panels in this framework, but
> also raised an additional question: whether I had used the
> sigmamore and sigmaless options to overcome the "not positive
> definite" obstacle. Using one or the other should guarantee a
> positive-definite, but I still received the same warning.
> Does anyone have an intuition as to why this would be the
> case? Thanks, Alexandra
>
> ---------- Forwarded message ----------
> From: Schaffer, Mark E <[email protected]>
> Date: Thu, Aug 28, 2008 at 4:25 PM
> Subject: RE: xtoverid
> To: Alexandra Guisinger <[email protected]>
>
>
> Hi Alexandra. First question - did you use the "sigmamore"
> or "sigmaless" options of -hausman- to guarantee a
> positive-definite test stat? I think this is supported by
> -hausman- now.
>
> The unbalancedness doesn't matter. My vague recollection is
> that the Hausman version is numerically identical to an
> artificial regression version, but you need to use the right
> combination of sigmas and artificial regressors.
>
> In any case, the main reason for using xtoverid is that you
> can get, e.g., cluster-robust test statistics - much
> preferable to the standard Hausman stat that requires
> homoskedasticity.
>
> If you have a follow-up question, and you think it's
> appropriate, can you ask via Statalist? That way others can
> benefit from the answer, and/or you might get a faster or
> better answer from someone else.
>
> 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
> http://ideas.repec.org/e/psc51.html
>
>
>
> ________________________________
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Alexandra Guisinger
> Sent: 28 August 2008 19:47
> To: Schaffer, Mark E
> Subject: xtoverid
>
> Dear Prof. Schaffer,
>
> Thank you for your work on xtoverid. Unfortunately, I have an
> annoying follow-up question. I have panel data (annual
> average inflation rates, government policies, and economic
> data). Stata's hausman command repeatedly returned "V_b-V_B
> is not positive definite" when using my stored xtreg, fe and
> xtreg, re estimates. For this reason, I would like to use the
> artificial regression approach. However, my panel is not
> balanced. Does this mean that the results are invalid or does
> it simply explain why the overid statistic - di r(j) - is not
> identical to di r(chi2) from the Hausman test using the sigma
> from the FE estimation? I apologize if I missed an online
> discussion of this issue.
>
> Cordially,
>
> Alexandra
>
> ________________________________
> Heriot-Watt University is a Scottish charity registered under
> charity number SC000278.
>
>
>
> --
> Alexandra Guisinger
> Assistant Professor
> Political Science
> University of Notre Dame
> 217 O'Shaughnessy Hall
> Notre Dame, IN 46556
> (574) 631-3846
> [email protected]
>
>
>
> --
> Alexandra Guisinger
> Assistant Professor
> Political Science
> University of Notre Dame
> 217 O'Shaughnessy Hall
> Notre Dame, IN 46556
> (574) 631-3846
> [email protected]
> *
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>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
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