Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: RE: hausman test results
From
Jan Lid <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: hausman test results
Date
Sat, 12 Feb 2011 10:54:02 +0100
you were right. I did do something wrong as my results are different this time. But i still don't know what this mean. Is a random effect model valid or nor valid? Says h0 efficient? So random effect valid?
Help very much appreciated
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| re fe Difference S.E.
-------------+----------------------------------------------------------------
is | .0027526 -.0002958 .0030484 .
e_n | -.0676737 -.0452386 -.0224351 .
lnbtm_n | -.0189196 -.0295569 .0106373 .
lnmve | .0003718 -.0020215 .0023934 .
nege | .0230284 .0271639 -.0041354 .
roe | -.1102508 -.1590028 .048752 .
posacc | .0300681 .0251275 .0049406 .
negacc | .0330714 .0297334 .003338 .
assg | -.0025524 -.003037 .0004845 .
nod | -.0077827 -.0047668 -.0030159 .
dtb | .0600797 .0627425 -.0026628 .
d1997 | -.0086867 -.0100742 .0013876 .0011561
d1998 | -.0140629 -.0170658 .0030029 .0000744
d1999 | -.0008133 -.0049143 .004101 .
d2000 | -.0077408 -.0097045 .0019636 .
d2001 | -.0234343 -.0232871 -.0001472 .
d2002 | -.0116084 -.0147064 .0030979 .
d2003 | .0045587 .0039078 .000651 .
d2004 | .002967 .0033895 -.0004225 .
d2005 | .0034413 .0058742 -.0024328 .
d2006 | .0036623 .0052834 -.0016211 .
d2007 | .0006761 .0029451 -.002269 .
d2008 | -.0116638 -.0092098 -.002454 .
d2009 | -.0007347 .0024991 -.0032338 .
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(24) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -91.23 chi2<0 ==> model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
> Date: Fri, 11 Feb 2011 21:31:27 +0100
> From: [email protected]
> Subject: Re: st: RE: hausman test results
> To: [email protected]
>
> Hi Lid,
>
> Eric is right. Your coefficients for the FE and RE model are identical. This is extremely unlikely to be the case ...
>
> Justina
> -------- Original-Nachricht --------
> > Datum: Fri, 11 Feb 2011 19:19:33 +0100
> > Von: DE SOUZA Eric <[email protected]>
> > An: "[email protected]" <[email protected]>
> > Betreff: st: RE: hausman test results
>
> > 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: [email protected]
> > [mailto:[email protected]] On Behalf Of Jan Lid
> > Sent: 11 February 2011 18:32
> > To: [email protected]
> > 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)
> > *
> > * 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/
>
> --
> Justina AV Fischer, PhD
> Senior Researcher
> Faculty of Economics
> University of Mannheim
>
> homepage: http://www.justinaavfischer.de/
> e-mail: [email protected]
> papers: http://ideas.repec.org/e/pfi55.html
>
>
> *
> * 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/