Dear Martin,
Thank you for the reply.
I have not reversed the order.
System GMM is suppposed to be consistent.
Therefore, I did as below...
Hausman gmm fe
Does it mean that the gmm estimates are no longer consistent?
I tried -suest- but GMM does not generate "score" that is required for
"predict". So, this doesn't help ...
Thank you.
YK
On Fri, May 1, 2009 at 7:48 PM, Martin Weiss <[email protected]> wrote:
> <>
>
> Are you sure you have respected the advice in the help file -h hausman-:
> "specify to hausman the models in the order "always consistent" first and
> "efficient under H0" second."?
>
> A reversal of the models reverses the sign of the test statistic...
>
> ****
> qui{
> webuse nlswork4, clear
> xtreg ln_wage age msp ttl_exp, fe
> estimates store fixed
> xtreg ln_wage age msp ttl_exp, re
> est store re
> }
>
> hausman fixed .
> //reversed
> hausman re fixed
> ****
>
> Apart from that, Stata offers you -suest- as a general alternative...
>
>
> HTH
> Martin
> _______________________
> ----- Original Message ----- From: "Yee Kyoung Kim" <[email protected]>
> To: <[email protected]>
> Sent: Friday, May 01, 2009 8:44 AM
> Subject: st: negative haumsan test statistics
>
>
>> Dear subscribers,
>>
>> I would like to test system GMM is consistent in comparison with FE.
>> For this purpose, I did "hausman gmm fe" and keep getting the negative
>> statistics.
>> Are there anybody to help me understand what is the problem?
>>
>> Thanks in advance.
>>
>> Best,
>>
>> YK
>>
>> --
>> Yee Kyoung Kim
>> Department of Economics
>> PhD candidate, Seoul National University, Seoul, Korea
>> (Phone) 016-595-6148
>> *
>> * 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/
>
--
Yee Kyoung Kim
Department of Economics
PhD candidate, Seoul National University, Seoul, Korea
(Phone) 016-595-6148
*
* 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/
