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st: Hausman Test Problems
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
st: Hausman Test Problems
Date
Mon, 2 May 2011 09:12:15 +0500
Dear All!
I have run a panel data regression and selection of the random effects
or fixed effects using Hausman test. I do not know what is the actual
problem with my results. Please could someone help. Why the result for
my hausman command results in warning message?
the complete results are below:
. xtreg priceclose eps bookvalue, fe
Fixed-effects (within) regression Number of obs = 850
Group variable: id Number of groups = 170
R-sq: within = 0.1160 Obs per group: min = 5
between = 0.5266 avg = 5.0
overall = 0.4645 max = 5
F(2,678) = 44.48
corr(u_i, Xb) = 0.4836 Prob > F = 0.0000
priceclose Coef. Std. Err. t P>t [95% Conf. Interval]
eps .7770481 .1966364 3.95 0.000 .3909585 1.163138
bookvalue .8653121 .1577343 5.49 0.000 .5556057 1.175018
_cons 1.001173 .1176642 8.51 0.000 .7701434 1.232204
sigma_u 3.5662704
sigma_e 1.5953308
rho .83325562 (fraction of variance due to u_i)
F test that all u_i=0: F(169, 678) = 17.34 Prob > F = 0.0000
.
. estimates store fe
.
. xtreg priceclose eps bookvalue, re
Random-effects GLS regression Number of obs = 850
Group variable: id Number of groups = 170
R-sq: within = 0.1159 Obs per group: min = 5
between = 0.5186 avg = 5.0
overall = 0.4593 max = 5
Random effects u_i ~ Gaussian Wald chi2(2) = 297.79
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
priceclose Coef. Std. Err. z P>z [95% Conf. Interval]
eps 1.113035 .2084971 5.34 0.000 .7043883 1.521682
bookvalue 1.394302 .1196459 11.65 0.000 1.159801 1.628804
_cons .5629992 .2070207 2.72 0.007 .1572462 .9687522
sigma_u 2.1242726
sigma_e 1.5953308
rho .63938518 (fraction of variance due to u_i)
.
. estimates store re
.
. hausman fe re
---- Coefficients ----
(b) (B) (b-B) sqrt(diag(V_b-V_B))
fe re Difference S.E.
eps .7770481 1.113035 -.3359869 .
bookvalue .8653121 1.394302 -.5289903 .102786
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(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= -15.59 chi2<0 ==> model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
--
Muhammad Anees
MSc in Economics
The University of Sheffield
United Kingdom
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