st: RE: hausman test results

[DE SOUZA Eric <eric.de_souza@coleurope.eu>]

The results indicate that you did something wrong.  The kind of results you get is what would happen if did the following:
webuse grunfeld
xtreg invest mvalue kstock, fe
estimates store fef
xtreg invest mvalue kstock, fe
estimates store ref
hausman fef ref

Did you get the following message before your test output?

Note: the rank of the differenced variance matrix (0) does not equal the number of coefficients being tested (2); be
        sure this is what you expect, or there may be problems computing the test.  Examine the output of your
        estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on
        a similar scale.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jan Lid
Sent: 11 February 2011 18:32
To: statalist@hsphsun2.harvard.edu
Subject: st: hausman test results






Hi,

I have a prroblem interpreting the hausman test. My difference is zero everywhere which valids my use of random effect model. What i do not understand however is that my hausman value result is zero. with a probability of zero. This would suggest systematic difference but the table below tells me otherwise. How do i interpret this? Thx for the help

Jan Lid


---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fixed random Difference S.E.
-------------+----------------------------------------------------------
-------------+------
e_n | -.0992885 -.0992885 0 0
lnbtm_n | -.0044924 -.0044924 0 0
lnmve | .0237916 .0237916 0 0
nege | .0231327 .0231327 0 0
roe | .0245178 .0245178 0 0
acc | .0664807 .0664807 0 0
| .0450786 .0450786 0 0
assg | .195635 .195635 0 0
nod | .1440675 .1440675 0 0
dtb | .2710841 .2710841 0 0
d1997 | -.0355099 -.0355099 0 0
d1998 | -.0145913 -.0145913 0 0
d1999 | .0119304 .0119304 0 0
d2000 | -.0550707 -.0550707 0 0
d2001 | -.1669835 -.1669835 0 0
d2002 | .0074249 .0074249 0 0
d2003 | .1367043 .1367043 0 0
d2004 | .1281495 .1281495 0 0
d2005 | .0103888 .0103888 0 0
d2006 | -.0578083 -.0578083 0 0
d2007 | -.020043 -.020043 0 0
d2008 | -.0785053 -.0785053 0 0
d2009 | -.0668654 -.0668654 0 0
------------------------------------------------------------------------------
b = consdstent under Ho and Ha; obtained from xtreg B = inconsdstent under Ha, efficient under Ho; obtained from regress

Test: Ho: difference in coefficients not systematic

chi2(0) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 0.00
Prob>chi2 = .
(V_b-V_B ds not positive definite) 		 	   		  
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