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st: Hausman Taylor estimation
From
momo <[email protected]>
To
[email protected]
Subject
st: Hausman Taylor estimation
Date
Sat, 12 Feb 2011 06:00:31 -0800 (PST)
Dear Listers
I'm performing a panel data regression across ten countries and sixteen
years in Stata.
I got the next results for HT estimation, the wald chi2 for the first
equation doesn't appear, so what could be the problem.
and what could the (rho) means which is very high in the both equations
tests.
Hausman-Taylor estimation Number of obs =
160
Group variable: id Number of groups =
10
Obs per group: min =
16
avg =
16
max =
16
Random effects u_i ~ i.i.d. Wald chi2(8) =
.
Prob > chi2 =
.
------------------------------------------------------------------------------
logd2 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
TVexogenous |
openness | 2.539739 .886033 2.87 0.004 .8031464
4.276332
lnexchrate | -.2779103 .158728 -1.75 0.080 -.5890115
.0331909
RLF | 2.03592 .4653397 4.38 0.000 1.123871
2.947969
SIMI | 3.351891 .4614706 7.26 0.000 2.447425
4.256357
gro | .0256321 .0271989 0.94 0.346 -.0276767
.0789409
logEFI | 1.809185 1.047703 1.73 0.084 -.244274
3.862644
TVendogenous |
logd1 | -.1425102 .2947463 -0.48 0.629 -.7202023
.4351818
TIexogenous |
logdistw | -1.532973 .81225 -1.89 0.059 -3.124954
.0590077
-------------+----------------------------------------------------------------
sigma_u | 2.6783898
sigma_e | .85960498
rho | .90661577 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note: TV refers to time varying; TI refers to time invariant.
.
Hausman-Taylor estimation Number of obs =
160
Group variable: id Number of groups =
10
Obs per group: min =
16
avg =
16
max =
16
Random effects u_i ~ i.i.d. Wald chi2(8) =
312.50
Prob > chi2 =
0.0000
------------------------------------------------------------------------------
logd1 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
TVexogenous |
openness | .7307054 .2359539 3.10 0.002 .2682443
1.193167
lnexchrate | .1404864 .0422915 3.32 0.001 .0575965
.2233763
RLF | .5934485 .1207707 4.91 0.000 .3567423
.8301548
SIMI | .877719 .1248755 7.03 0.000 .6329676
1.12247
gro | .0005663 .0071505 0.08 0.937 -.0134485
.014581
efi | -.0090077 .0056817 -1.59 0.113 -.0201437
.0021283
TVendogenous |
logd2 | -.0041103 .0214061 -0.19 0.848 -.0460655
.0378448
TIexogenous |
logdistw | -2.107877 .789473 -2.67 0.008 -3.655216
-.5605383
|
_cons | 19.61914 6.154651 3.19 0.001 7.556249
31.68204
-------------+----------------------------------------------------------------
sigma_u | .85479597
sigma_e | .22388798
rho | .93580213 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note: TV refers to time varying; TI refers to time invariant.
Thank you very much
--
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