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Joachim said
regress var L.var yr*
estimates store OLS, title(The OLS estimator)
xtreg var L.var yr*, fe
estimates store WG, title(The Within Group estimator)
suest WG OLS
It makes no sense to try to do a Hausman test in this context. The OLS
estimator is nested within the FE (within group) estimator, so a
standard Wald F test of the hypothesis that all u_i = 0 is the test
for validity of OLS versus FE. That test is automatically performed by
xtreg, fe.
Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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