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Re: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test
1st Questtion if I have carrried out a Breusch-pagan LM test and my
model has obtained a value greater than 0.06 therefore I accept the
random effects model, right?
2nd Question: My results for the coefficiants of the random effects
model and fixed effects model are very different, with very different
coefficiants and p values. Is this a problem? But the test has passed
the Breusch Pagan Test for RE model, if I am right about Question 1.
Please refer to outputs below:
Random-effects GLS regression Number of obs = 43
Group variable (i): region Number of groups = 7
R-sq: within = 0.4110 Obs per group: min = 2
between = 0.9912 avg = 6.1
overall = 0.9550 max = 8
Random effects u_i ~ Gaussian Wald chi2(6) = 763.37
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
lny | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lx1 | .1301386 .0466017 2.79 0.005 .038801 .2214762
lx2 | .1708776 .0772652 2.21 0.027 .0194406 .3223145
lx3 | 3.27485 .6616212 4.95 0.000 1.978097 4.571604
lx4 | .6025669 .1123974 5.36 0.000 .3822721 .8228617
lx5 | 4.753912 1.088747 4.37 0.000 2.620007 6.887817
lx6 | .9487478 .2355224 4.03 0.000 .4871324 1.410363
_cons | -36.19591 5.482063 -6.60 0.000 -46.94055 -25.45126
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .03410935
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xtreg lny lx1 lx2 lx3 lx4 lx5 lx6, fe
Fixed-effects (within) regression Number of obs = 43
Group variable (i): region Number of groups = 7
R-sq: within = 0.8302 Obs per group: min = 2
between = 0.7280 avg = 6.1
overall = 0.6779 max = 8
F(6,30) = 24.45
corr(u_i, Xb) = 0.6968 Prob > F = 0.0000
------------------------------------------------------------------------------
lny | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lx1 | -.0021639 .0069926 -0.31 0.759 -.0164448 .0121169
lx2 | .1352655 .0220522 6.13 0.000 .090229 .1803021
lx3 | .2685463 .1091373 2.46 0.020 .0456582 .4914345
lx4 | .1267882 .0500629 2.53 0.017 .0245461 .2290303
lx5 | .8111474 .1926396 4.21 0.000 .417725 1.20457
lx6 | -.0138814 .0480629 -0.29 0.775 -.112039 .0842761
_cons | -.683041 1.127701 -0.61 0.549 -2.986114 1.620032
-------------+----------------------------------------------------------------
sigma_u | 1.0104691
sigma_e | .03410935
rho | .99886183 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(6, 30) = 369.90 Prob > F = 0.0000
On Fri, Feb 27, 2009 at 7:42 PM, David Greenberg <[email protected]> wrote:
> No, it is not difficult to understand and estimate these models. Look at these papers:
> Nathaniel Beck and Jonathan N. Katz, ?What To Do (and Not To Do)With Time-Series Cross-Section Data,? American Political Science Review 89.3 (Sept. 1995): 634-47.
> _____, ?Time-Series-Cross-Section Data: What Have We Learned in the Past Few Year,? Annual Review of Political Science 4 (2001):271-93.
> The models can be estimated in Stata using the xtpcse keyword. - David Greenberg, Sociology Department, New York University
>
> ----- Original Message -----
> From: Muhammad Billal Malik <[email protected]>
> Date: Friday, February 27, 2009 7:54 am
> Subject: Re: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test
> To: [email protected]
>
>
>> I am sorry David, but I have not been taught that in my Basic
>> Econometric course, will it be easy to understand and run?
>>
>> On Thu, Feb 26, 2009 at 9:26 PM, David Greenberg <[email protected]> wrote:
>> > With a small number of nations and more years than nations you may
>> be better off using panel-corrected standard errors than the approach
>> you are taking. David Greenberg, Sociology Department, New York University
>> >
>> > ----- Original Message -----
>> > From: Muhammad Billal Malik <[email protected]>
>> > Date: Thursday, February 26, 2009 2:20 pm
>> > Subject: st: Panel Data-FIXED, RANDOM EFFECTS and Hausman Test
>> > To: [email protected]
>> >
>> >
>> >> I am having some problems with my econometrics based dissertation.
>> I
>> >> doing a panel data on 12 sub-saharan african nations, with 6 variables
>> >> over a 17 year time period.
>> >>
>> >> I am using a simple log log model to test to see if one of my
>> >> variables lx2 (tourism receipts) has a positive affect on GDP. I have
>> >> run a pooled regression, then fixed effects between and within, and
>> >> finally a random effects. I have then carried out a Hausman test and
>> >> achieved a negative value, which has confused me more. I was wondering
>> >> what do I do, as in what model shall I choose? I have attached my
>> >> STATA output so you can see if I have gone through the right steps.
>> >>
>> >> I will really appreciate if you can help me,
>> >>
>> >> Kind Regards,
>> >>
>> >> Mohammud
>> >>
>> >>
>> >> Carrying out a pooled data regression
>> >> . regress ly lx1 lx2 lx3 lx4 lx5 lx6
>> >>
>> >> Source | SS df MS Number of
>> obs =
>> >> 57
>> >> -------------+------------------------------ F( 6,
>> 50) =
>> >> 52.04
>> >> Model | 59.1406489 6 9.85677481 Prob > F
>> =
>> >> 0.0000
>> >> Residual | 9.47031674 50 .189406335 R-squared
>> =
>> >> 0.8620
>> >> -------------+------------------------------ Adj
>> R-squared =
>> >> 0.8454
>> >> Total | 68.6109656 56 1.22519581 Root MSE
>> =
>> >> .43521
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. t P>|t| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | .173204 .0545574 3.17 0.003 .0636223
>> >> .2827857
>> >> lx2 | .0816157 .0737985 1.11 0.274 -.0666129
>> >> .2298442
>> >> lx3 | 1.207415 .7336368 1.65 0.106 -.2661382
>> >> 2.680968
>> >> lx4 | .8167941 .0985049 8.29 0.000 .6189412
>> >> 1.014647
>> >> lx5 | 4.014936 1.263028 3.18 0.003 1.478069
>> >> 6.551803
>> >> lx6 | .2619006 .2371792 1.10 0.275 -.2144879
>> >> .738289
>> >> _cons | -20.5465 5.498655 -3.74 0.000 -31.59087
>> -9.502123
>> >> ------------------------------------------------------------------------------
>> >>
>> >> . gen country = region
>> >> Setting up a panel
>> >> . tsset country year, yearly
>> >> panel variable: country (strongly balanced)
>> >> time variable: year, 1990 to 2006
>> >>
>> >> Carrying out a fixed effects within regression on panel data
>> >> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, fe
>> >>
>> >> Fixed-effects (within) regression Number of obs =
>> >> 57
>> >> Group variable (i): country Number of groups
>> =
>> >> 10
>> >>
>> >> R-sq: within = 0.7640 Obs per group: min
>> =
>> >> 2
>> >> between = 0.5507 avg
>> =
>> >> 5.7
>> >> overall = 0.5374 max
>> =
>> >> 8
>> >>
>> >> F(6,41) =
>> >> 22.12
>> >> corr(u_i, Xb) = 0.5835 Prob > F
>> =
>> >> 0.0000
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. t P>|t| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | -.0075411 .0061342 -1.23 0.226 -.0199293
>> >> .0048472
>> >> lx2 | .1397473 .0208394 6.71 0.000 .0976612
>> >> .1818334
>> >> lx3 | -.0471179 .0766965 -0.61 0.542 -.2020095
>> >> .1077738
>> >> lx4 | .0883038 .0510516 1.73 0.091 -.0147971
>> >> .1914046
>> >> lx5 | .4423916 .1609951 2.75 0.009 .1172554
>> >> .7675278
>> >> lx6 | -.0635172 .0380633 -1.67 0.103 -.1403876
>> >> .0133532
>> >> _cons | 2.404044 .8235133 2.92 0.006 .7409252
>> >> 4.067163
>> >> -------------+----------------------------------------------------------------
>> >> sigma_u | .95115353
>> >> sigma_e | .03719725
>> >> rho | .99847294 (fraction of variance due to u_i)
>> >> ------------------------------------------------------------------------------
>> >> F test that all u_i=0: F(9, 41) = 755.95 Prob >
>> F
>> >> = 0.0000
>> >>
>> >> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, be
>> >>
>> >> Carrying out a fixed effects between regression on panel data
>> >>
>> >>
>> >> Between regression (regression on group means) Number of obs =
>> >> 57
>> >> Group variable (i): country Number of groups
>> =
>> >> 10
>> >>
>> >> R-sq: within = 0.0790 Obs per group: min
>> =
>> >> 2
>> >> between = 0.9488 avg
>> =
>> >> 5.7
>> >> overall = 0.7682 max
>> =
>> >> 8
>> >>
>> >> F(6,3)
>> =
>> >> 9.26
>> >> sd(u_i + avg(e_i.))= .4441503 Prob > F
>> =
>> >> 0.0477
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. t P>|t| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | .5188441 .2315068 2.24 0.111 -.2179138
>> >> 1.255602
>> >> lx2 | -.0061883 .4172493 -0.01 0.989 -1.334062
>> >> 1.321685
>> >> lx3 | .1313838 4.684306 0.03 0.979 -14.77617
>> >> 15.03894
>> >> lx4 | .9508895 .2441334 3.89 0.030 .173948
>> >> 1.727831
>> >> lx5 | 7.621178 7.059213 1.08 0.359 -14.84439
>> >> 30.08674
>> >> lx6 | -.672947 1.417266 -0.47 0.667 -5.183319
>> >> 3.837425
>> >> _cons | -26.37744 19.85242 -1.33 0.276 -89.5567
>> >> 36.80181
>> >> ------------------------------------------------------------------------------
>> >>
>> >> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, re
>> >>
>> >> Carrying out a random effects regression on panel data
>> >>
>> >>
>> >> Random-effects GLS regression Number of obs =
>> >> 57
>> >> Group variable (i): country Number of groups
>> =
>> >> 10
>> >>
>> >> R-sq: within = 0.7556 Obs per group: min
>> =
>> >> 2
>> >> between = 0.6683 avg
>> =
>> >> 5.7
>> >> overall = 0.6327 max
>> =
>> >> 8
>> >>
>> >> Random effects u_i ~ Gaussian Wald chi2(6)
>> =
>> >> 94.90
>> >> corr(u_i, X) = 0 (assumed) Prob > chi2 =
>> >> 0.0000
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. z P>|z| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | -.0065896 .0077505 -0.85 0.395 -.0217803
>> >> .0086011
>> >> lx2 | .1253869 .0257565 4.87 0.000 .0749051
>> >> .1758687
>> >> lx3 | -.0363082 .0969763 -0.37 0.708 -.2263783
>> >> .1537619
>> >> lx4 | .1554292 .061983 2.51 0.012 .0339448
>> >> .2769135
>> >> lx5 | .4387479 .2031582 2.16 0.031 .0405652
>> >> .8369306
>> >> lx6 | -.0456517 .0477556 -0.96 0.339 -.1392509
>> >> .0479475
>> >> _cons | 2.241371 1.053202 2.13 0.033 .1771336
>> >> 4.305609
>> >> -------------+----------------------------------------------------------------
>> >> sigma_u | .44383293
>> >> sigma_e | .03719725
>> >> rho | .99302502 (fraction of variance due to u_i)
>> >> ------------------------------------------------------------------------------
>> >> Fixed-effects (within) regression Number of obs =
>> >> 57
>> >> Group variable (i): country Number of groups
>> =
>> >> 10
>> >>
>> >> R-sq: within = 0.7640 Obs per group: min
>> =
>> >> 2
>> >> between = 0.5507 avg
>> =
>> >> 5.7
>> >> overall = 0.5374 max
>> =
>> >> 8
>> >>
>> >> F(6,41) =
>> >> 22.12
>> >> corr(u_i, Xb) = 0.5835 Prob > F
>> =
>> >> 0.0000
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. t P>|t| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | -.0075411 .0061342 -1.23 0.226 -.0199293
>> >> .0048472
>> >> lx2 | .1397473 .0208394 6.71 0.000 .0976612
>> >> .1818334
>> >> lx3 | -.0471179 .0766965 -0.61 0.542 -.2020095
>> >> .1077738
>> >> lx4 | .0883038 .0510516 1.73 0.091 -.0147971
>> >> .1914046
>> >> lx5 | .4423916 .1609951 2.75 0.009 .1172554
>> >> .7675278
>> >> lx6 | -.0635172 .0380633 -1.67 0.103 -.1403876
>> >> .0133532
>> >> _cons | 2.404044 .8235133 2.92 0.006 .7409252
>> >> 4.067163
>> >> -------------+----------------------------------------------------------------
>> >> sigma_u | .95115353
>> >> sigma_e | .03719725
>> >> rho | .99847294 (fraction of variance due to u_i)
>> >> ------------------------------------------------------------------------------
>> >> F test that all u_i=0: F(9, 41) = 755.95 Prob >
>> F
>> >> = 0.0000
>> >>
>> >> . estimates store fixed
>> >>
>> >> . xtreg ly lx1 lx2 lx3 lx4 lx5 lx6, re
>> >>
>> >> Random-effects GLS regression Number of obs =
>> >> 57
>> >> Group variable (i): country Number of groups
>> =
>> >> 10
>> >>
>> >> R-sq: within = 0.7556 Obs per group: min
>> =
>> >> 2
>> >> between = 0.6683 avg
>> =
>> >> 5.7
>> >> overall = 0.6327 max
>> =
>> >> 8
>> >>
>> >> Random effects u_i ~ Gaussian Wald chi2(6)
>> =
>> >> 94.90
>> >> corr(u_i, X) = 0 (assumed) Prob > chi2 =
>> >> 0.0000
>> >>
>> >> ------------------------------------------------------------------------------
>> >> ly | Coef. Std. Err. z P>|z| [95%
>> Conf. Interval]
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | -.0065896 .0077505 -0.85 0.395 -.0217803
>> >> .0086011
>> >> lx2 | .1253869 .0257565 4.87 0.000 .0749051
>> >> .1758687
>> >> lx3 | -.0363082 .0969763 -0.37 0.708 -.2263783
>> >> .1537619
>> >> lx4 | .1554292 .061983 2.51 0.012 .0339448
>> >> .2769135
>> >> lx5 | .4387479 .2031582 2.16 0.031 .0405652
>> >> .8369306
>> >> lx6 | -.0456517 .0477556 -0.96 0.339 -.1392509
>> >> .0479475
>> >> _cons | 2.241371 1.053202 2.13 0.033 .1771336
>> >> 4.305609
>> >> -------------+----------------------------------------------------------------
>> >> sigma_u | .44383293
>> >> sigma_e | .03719725
>> >> rho | .99302502 (fraction of variance due to u_i)
>> >> ------------------------------------------------------------------------------
>> >>
>> >> . estimates store random
>> >>
>> >> Carrying out a HAUSMAN TEST
>> >>
>> >> . hausman fixed random
>> >>
>> >> ---- Coefficients ----
>> >> | (b) (B) (b-B) sqrt(diag(V_b-V_B))
>> >> | fixed random Difference S.E.
>> >> -------------+----------------------------------------------------------------
>> >> lx1 | -.0075411 -.0065896 -.0009515
>> >> .
>> >> lx2 | .1397473 .1253869 .0143604
>> >> .
>> >> lx3 | -.0471179 -.0363082 -.0108097
>> >> .
>> >> lx4 | .0883038 .1554292 -.0671254
>> >> .
>> >> lx5 | .4423916 .4387479 .0036437
>> >> .
>> >> lx6 | -.0635172 -.0456517 -.0178655
>> >> .
>> >> ------------------------------------------------------------------------------
>> >> 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(6) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>> >> = -4.12 chi2<0 ==> model fitted on
>> these
>> >> data fails to meet the asymptotic
>> >> assumptions of the Hausman
>> test;
>> >> see suest for a generalized
>> test
>> >>
>> >> *
>> >> * For searches and help try:
>> >> * http://www.stata.com/help.cgi?search
>> >> * http://www.stata.com/support/statalist/faq
>> >> * http://www.ats.ucla.edu/stat/stata/
>> > *
>> > * For searches and help try:
>> > * http://www.stata.com/help.cgi?search
>> > * http://www.stata.com/support/statalist/faq
>> > * http://www.ats.ucla.edu/stat/stata/
>> >
>>
>>
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/