Alfred Stiglbauer <[email protected]>:
See -help whatsnew- under update 25feb2008:
20. xtreg, fe now uses vce(cluster id) when vce(robust) is specified,
in light of the new results in Stock and Watson,
"Heteroskedasticity-robust standard errors for fixed-effects
panel-data regression," Econometrica 76 (2008): 155-174.
And see -xtoverid- on SSC for a Hausman-style test in this setting, as
described in its help file:
"
A test of fixed vs. random effects can also be seen as a test of
overidentifying restrictions. The fixed effects estimator uses the
orthogonality conditions that the regressors are uncorrelated with the
idiosyncratic error e_it, i.e., E(X_it*e_it)=0. The random effects
estimator uses the additional orthogonality conditions that the
regressors are uncorrelated with the group-specific error u_i (the
"random
effect"), i.e., E(X_it*u_i)=0. These additional orthogonality
conditions are overidentifying restrictions. The test is implemented
by xtoverid
using the artificial regression approach described by Arellano (1993)
and Wooldridge (2002, pp. 290-91), in which a random effects equation
is
reestimated augmented with additional variables consisting of the
original regressors transformed into deviations-from-mean form. The
test
statistic is a Wald test of the significance of these additional
regressors. A large-sample chi-squared test statistic is reported
with no
degrees-of-freedom corrections. Under conditional homoskedasticity,
this test statistic is asymptotically equivalent to the usual Hausman
fixed-vs-random effects test; with a balanced panel, the artificial
regression and Hausman test statistics are numerically equal. See
Arellano
(1993) for an exact statement and the example below for a
demonstration. Unlike the Hausman version, the test reported by
xtoverid extends
straightforwardly to heteroskedastic- and cluster-robust versions, and
is guaranteed always to generate a nonnegative test statistic.
"
On Mon, Oct 13, 2008 at 8:34 AM, Alfred Stiglbauer
<[email protected]> wrote:
> Dear all,
>
> I want to conduct some fairly standard Hausman tests (for various specifications) after -xtreg- testing whether a random effects model is appropriate as opposed to fixed effects.
>
> When the program should perform the first of these tests this results in an error message:
>
> hausman cannot be used with clustered or p-weighted data
> r(198);
>
> I do not understand this. I've neither data with weights nor is a cluster option involved anywhere. (Additionally, the data aren't based on a survey and I have not used any command to instruct Stata to treat them in such a way.)
>
> The regression commands include the "robust" option in both regression models (i. e. xtreg[...], fe and xtreg[...], re). Interestingly, the Hausman test is performed when I do NOT use this option.
>
> Any ideas or suggestions? Thanks for help!
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