My replies don't seem to be linking to the thread ("V_b-V_B is not
positive definite" / XTOVERID) so just a quick summary. Even using the
sigmamore or sigmaless option for hausman, I keep getting a "not
positive definite message". As requested, I have posted the results
from 1) using xtoverid 2) hausman "plain" 3) hausman, sigmamore 4)
hausman, sigmaless
The open question is why I should be getting this message on the last
two. I posted the xtoverid and the hausman "plain" results just to
provide a baseline.
Best,
Alexandra
. quietly xtreg inf_ln dejure_fix_lag defacto_fix_lag both_fix_lag
> cbi_dum demo cbid_demo
> any_crisis_lag5
> gdpgr gdppc_ln
> kaopen trade_gdpln
> d80 d90 d00, fe robust;
. estimates store FE_all;
. quietly xtreg inf_ln dejure_fix_lag defacto_fix_lag both_fix_lag
> cbi_dum demo cbid_demo
> any_crisis_lag5
> gdpgr gdppc_ln
> kaopen trade_gdpln
> d80 d90 d00, robust;
. estimates store RE_all;
. xtoverid;
Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust
Sargan-Hansen statistic 47.466 Chi-sq(14) P-value = 0.0000
. di r(j);
47.466264
. hausman FE_all RE_all;
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| FE_all RE_all Difference S.E.
-------------+----------------------------------------------------------------
dejure_fix~g | -.106678 -.1485591 .0418811 .0214834
defacto_fi~g | .1230668 .0495145 .0735523 .0210956
both_fix_lag | -.182023 -.1595988 -.0224242 .0237164
cbi_dum | .2066256 .2841449 -.0775193 .0273531
demo | .0979394 .1619413 -.0640018 .0317311
cbid_demo | -.2235295 -.2928343 .0693048 .0332288
any_crisis~5 | .0833966 .0925835 -.0091869 .0105338
gdpgr | -.0120385 -.0138431 .0018045 .0013408
gdppc_ln | -.4195892 -.217086 -.2025032 .0542878
kaopen | -.1710387 -.18982 .0187813 .0075126
trade_gdpln | .3195032 .116403 .2031002 .0704085
d80 | -.1043844 -.2006809 .0962965 .028491
d90 | -.3351049 -.5048707 .1697659 .0615218
d00 | -.745062 -.9100827 .1650207 .067007
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(14) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 42.13
Prob>chi2 = 0.0001
(V_b-V_B is not positive definite)
. di r(chi2);
42.127934
. hausman FE_all RE_all, sigmamore;
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| FE_all RE_all Difference S.E.
-------------+----------------------------------------------------------------
dejure_fix~g | -.106678 -.1485591 .0418811 .0230684
defacto_fi~g | .1230668 .0495145 .0735523 .022366
both_fix_lag | -.182023 -.1595988 -.0224242 .0260087
cbi_dum | .2066256 .2841449 -.0775193 .0298705
demo | .0979394 .1619413 -.0640018 .0328377
cbid_demo | -.2235295 -.2928343 .0693048 .0356113
any_crisis~5 | .0833966 .0925835 -.0091869 .0149747
gdpgr | -.0120385 -.0138431 .0018045 .0014489
gdppc_ln | -.4195892 -.217086 -.2025032 .0547583
kaopen | -.1710387 -.18982 .0187813 .007898
trade_gdpln | .3195032 .116403 .2031002 .0714139
d80 | -.1043844 -.2006809 .0962965 .0291838
d90 | -.3351049 -.5048707 .1697659 .0622949
d00 | -.745062 -.9100827 .1650207 .0681762
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(14) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 32.34
Prob>chi2 = 0.0036
(V_b-V_B is not positive definite)
. di r(chi2);
32.344072
. hausman FE_all RE_all, sigmaless;
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| FE_all RE_all Difference S.E.
-------------+----------------------------------------------------------------
dejure_fix~g | -.106678 -.1485591 .0418811 .0229261
defacto_fi~g | .1230668 .0495145 .0735523 .022228
both_fix_lag | -.182023 -.1595988 -.0224242 .0258483
cbi_dum | .2066256 .2841449 -.0775193 .0296863
demo | .0979394 .1619413 -.0640018 .0326352
cbid_demo | -.2235295 -.2928343 .0693048 .0353917
any_crisis~5 | .0833966 .0925835 -.0091869 .0148824
gdpgr | -.0120385 -.0138431 .0018045 .00144
gdppc_ln | -.4195892 -.217086 -.2025032 .0544206
kaopen | -.1710387 -.18982 .0187813 .0078493
trade_gdpln | .3195032 .116403 .2031002 .0709734
d80 | -.1043844 -.2006809 .0962965 .0290039
d90 | -.3351049 -.5048707 .1697659 .0619107
d00 | -.745062 -.9100827 .1650207 .0677557
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(14) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 32.75
Prob>chi2 = 0.0031
(V_b-V_B is not positive definite)
. di r(chi2);
32.746749
.
end of do-file
. which hausman
C:\Program Files\oit_licensed\Stata9\ado\updates\h\hausman.ado
*! version 3.0.14 18jan2007
. which xtreg
C:\Program Files\oit_licensed\Stata9\ado\updates\x\xtreg.ado
*! version 1.5.2 19mar2007
--
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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