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| From | "Justina Fischer" <JAVFischer@gmx.de> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: RE: st: RE: hausman test results |
| Date | Sat, 12 Feb 2011 12:40:19 +0100 |
Please consult the stata help file to check whether yous applied the test correctly. Justina -------- Original-Nachricht -------- > Datum: Sat, 12 Feb 2011 12:28:00 +0100 > Von: Jan Lid <hhb010@hotmail.com> > An: statalist@hsphsun2.harvard.edu > Betreff: RE: st: RE: hausman test results > > > ________________________________ > > From: hhb010@hotmail.com > > To: statalist@hsphsun2.harvard.edu > > Subject: RE: st: RE: hausman test results > > Date: Sat, 12 Feb 2011 12:25:28 +0100 > > > > > > i don't know how the to do file works. I just use the command code. i > > entered the following code one by one. > > > >xtreg et1_n is e_n lnbtm_n lnmve nege roe posacc negacc assg noddtb d1997 > d1998 d1999 d2000 d2001 d2002 d2003 d2004 d2005 d2006 d2007 d2008 d2009, > re > estimates store re > xtreg et1_n is e_n lnbtm_n lnmve nege roe posacc negacc assg nod dtb d1997 > d1998 d1999 d2000 d2001 d2002 d2003 d2004 d2005 d2006 d2007 > d2008 d2009, fe > estimates store fe > hausman re fe > > > > Does this help? > > > > ---------------------------------------- > > > Date: Sat, 12 Feb 2011 11:08:58 +0100 > > > From: JAVFischer@gmx.de > > > Subject: Re: RE: st: RE: hausman test results > > > To: statalist@hsphsun2.harvard.edu > > > > > > well,, read what stata says: you are violating one of the assumptions > > of the Hausman test so that the calculated value has no meaning. > > > > > > without providing the code in the do-file it is difficult to see > > where this might come from. > > > > > > Justina > > > -------- Original-Nachricht -------- > > > > Datum: Sat, 12 Feb 2011 10:54:02 +0100 > > > > Von: Jan Lid > > > > An: statalist@hsphsun2.harvard.edu > > > > Betreff: RE: st: RE: hausman test results > > > > > > > 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: JAVFischer@gmx.de > > > > > Subject: Re: st: RE: hausman test results > > > > > To: statalist@hsphsun2.harvard.edu > > > > > > > > > > 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 > > > > > > An: "statalist@hsphsun2.harvard.edu" > > > > > > 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: 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) > > > > > > * > > > > > > * 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: javfischer@gmx.de > > > > > 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/ > > > > > > -- > > > Justina AV Fischer, PhD > > > Senior Researcher > > > Faculty of Economics > > > University of Mannheim > > > > > > homepage: http://www.justinaavfischer.de/ > > > e-mail: javfischer@gmx.de > > > 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/ -- Justina AV Fischer, PhD Senior Researcher Faculty of Economics University of Mannheim homepage: http://www.justinaavfischer.de/ e-mail: javfischer@gmx.de 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/