<>
Well, all you have to do is check out
*************
help ivreg2,mark(s_overid)
*************
and note that you conclusively reject your null - which is stated there...
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Marco Buur
Gesendet: Freitag, 14. August 2009 14:50
An: [email protected]
Betreff: Re: st: hausman test
Thanks it works!!! I assume that based on this Sargan-Hansen test
below I need to reject RE model
is it the same Ho like in Hausman test?
Thank you in advance
xtreg A B C , fe robust
est store fixed
xtreg A B C , re robust
xtoverid, robust
Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust
Sargan-Hansen statistic 25.772 Chi-sq(8) P-value = 0.0011
On Fri, Aug 14, 2009 at 1:51 PM, Martin Weiss<[email protected]> wrote:
>
> <>
>
> The -which- output should be:
>
>
>
> . which ivreg2
> c:\ado\plus\i\ivreg2.ado
> *! ivreg2 2.2.09 17jul2008
> *! authors cfb & mes
> *! see end of file for version comments
>
>
> So go to your -c:\ado\plus\i\- folder, kill everything beginning with
> -ivreg2- , and then type -ssc inst ivreg2- in Stata. After that, -which-
> again and see whether your output matches mine...
>
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Marco Buur
> Gesendet: Freitag, 14. August 2009 13:48
> An: [email protected]
> Betreff: Re: st: hausman test
>
> Dear Martin
>
> I have installed it from :
>
> SJ-7-4 st0030_3 . . . . Enhanced routines for IV/GMM estimation and
> testing
> . . . . . . . . . . . . . C. F. Baum, M. E. Schaffer, and S.
> Stillman
> (help ivactest, ivendog, ivhettest, ivreg2, ivreset,
> overid, ranktest if installed)
> Q4/07 SJ 7(4):465--506
> extension of IV and GMM estimation addressing hetero-
> skedasticity- and autocorrelation-consistent standard
> errors, weak instruments, LIML and k-class estimation,
> tests for endogeneity and Ramsey's regression
> specification-error test, and autocorrelation tests
> for IV estimates and panel-data IV estimates
>
>
>
> If i run ssc inst ivreg2 i got
>
> *****************ssc inst ivreg2**********************
> checking ivreg2 consistency and verifying not already installed...
>
> the following files already exist and are different:
> c:\ado\plus\i\ivreg2.ado
> c:\ado\plus\i\ivreg2.hlp
> c:\ado\plus\i\ivreg2_p.ado
>
> no files installed or copied
> (no action taken)
> r(602);
>
> ****************which ivreg2**************
>
>
> c:\ado\plus\i\ivreg2.ado
> *! ivreg2 2.0.04 14Apr2004
> *! authors cfb & mes
> *! cloned from official ivreg version 5.0.9 19Dec2001
>
>
> Please advice
>
> On Fri, Aug 14, 2009 at 12:21 PM, Martin Weiss<[email protected]>
wrote:
>>
>> <>
>>
>> How did you install the files? Through the usual -ssc inst ivreg2-. If
so,
>> you should get the latest version. What does -which ivreg2- give you?
>>
>>
>>
>> HTH
>> Martin
>>
>>
>> -----Ursprüngliche Nachricht-----
>> Von: [email protected]
>> [mailto:[email protected]] Im Auftrag von Marco Buur
>> Gesendet: Freitag, 14. August 2009 12:19
>> An: [email protected]
>> Betreff: Re: st: hausman test
>>
>> Thanks Mark and Steve
>>
>> I tried to use
>>
>>> xtreg A B C , fe robust
>>> est store fixed
>>> xtreg A B C , re robust
>>> xtoverid
>>
>> but Stata says "Error - must have ivreg2 version 2.1.15 or greater
>> installed"
>> I installed ivreg2 it but there is no any progress.
>> Please advice
>>
>>
>>
>>
>> On Thu, Aug 13, 2009 at 4:38 PM, Marco Buur<[email protected]> wrote:
>>> I run hausman test and got Prob>chi2 = 0.1668
>>> According my undestanding this is confmation that I should use random
>>> effect model. Am i right ?
>>>
>>> Thanks a lot
>>>
>>> xtreg A B C , fe robust
>>> est store fixed
>>> xtreg A B C , re robust
>>> hausman fixed
>>>
>>>
>>> Test: Ho: difference in coefficients not systematic
>>>
>>> chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>>> = 11.67
>>> Prob>chi2 = 0.1668
>>> (V_b-V_B is not positive definite)
>>>
>>>
>>>
>>
>> *
>> * 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/
>
*
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*
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