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st: Re: Hausman test (fe vs. re), use robust SE or not?
From
Hobst <[email protected]>
To
[email protected]
Subject
st: Re: Hausman test (fe vs. re), use robust SE or not?
Date
Tue, 17 Aug 2010 08:21:37 -0700 (PDT)
Thank you very much Eric for your help, i appreciate it.. i will try it with -xtoverid now.
Best regards
Toby
On 17.08.2010, at 15:15, DE SOUZA Eric-3 [via Statalist] wrote:
> The standard Hausman test supposes that RE is efficient under the null. Robustifying violates that assumption.
> On the other hand, the fact that robustifying gives different results means that the RE assumptions are not satisfied.
> Consequently, the use of the test is invalid in your case, robustification or not
>
> Wooldridge in his 2002 textbook, Econometric Analysis of Cross Section and Panel Data, has a discussion of this and also of a robust version of the Hausman test (page 288ff). But this would have to be programmed.
>
> An alternative is to use xtoverid: -findit xtoverid- programmed by Mark Schaffer and Steven Stillman.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges)
> Belgium
>
> -----Original Message-----
> From: [hidden email] [mailto:[hidden email]] On Behalf Of Hobst
> Sent: 17 August 2010 14:13
> To: [hidden email]
> Subject: st: Hausman test (fe vs. re), use robust SE or not?
>
>
> Hello
>
> I want to decide between using the fixed effects or the ramdom-effects model.
>
> I did a hausman test xtreg y x1 x2 x3, fe estimates store FE xtreg y x1 x2 x3, re estimates store RE hausman FE RE
>
> i get p =0.000, so i should use FE model.
>
> But if add the vce(robust) option to the two xtreg lines above and test it again i get p=0.91
>
> So my question: Do i need to use the vce(robust) option for the hausman test or not?
>
> Thank you very much for your help!
>
> Regards
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