Re: RE: st: RE: hausman test results

["Justina Fischer" <JAVFischer@gmx.de>]

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)
> > > > > > *
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> > > > > >
> > > > > > *
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> > > > > > * 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:
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> > > > > * http://www.ats.ucla.edu/stat/stata/
> > > > *
> > > > * For searches and help try:
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> > > > * 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
> > >
> > >
> > > *
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> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/ 		 	   		  
> *
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-- 
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


*
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