Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Muhammad Anees <aneesmkhattak@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Hausman Test Problems |
| Date | Mon, 2 May 2011 14:47:05 +0500 |
Yes, John! I did the same thing. When done the following or """ xtreg priceclose eps bookvalue, re xtoverid di r(j) est store re xtreg priceclose eps bookvalue, fe est store fe hausman fe re, sigmaless di r(chi2) or, seperating from above lines: xtreg priceclose eps bookvalue, re cluster(id) xtoverid""" both do-files with similar results given below Does it mean that my choice of Fixed effects will work? Or I need something different to interptrete the results. Test of overidentifying restrictions: fixed vs random effects Cross-section time-series model: xtreg re robust cluster(id) Sargan-Hansen statistic 17.118 Chi-sq(2) P-value = 0.0002 On 2 May 2011 14:08, John Antonakis <John.Antonakis@unil.ch> wrote: > Try the userwritten command -xtoverid-. That should do it. After you run > your model, > > xtreg y x1-x10, re > > Just type -xtoverid- afterwards. This words after a robust or cluster robust > vce too. > > HTH, > John. > > __________________________________________ > > Prof. John Antonakis > Faculty of Business and Economics > Department of Organizational Behavior > University of Lausanne > Internef #618 > CH-1015 Lausanne-Dorigny > Switzerland > Tel ++41 (0)21 692-3438 > Fax ++41 (0)21 692-3305 > http://www.hec.unil.ch/people/jantonakis > > Associate Editor > The Leadership Quarterly > __________________________________________ > > > On 02.05.2011 06:12, Muhammad Anees wrote: >> >> 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 >> >> > * > * 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/ > -- Muhammad Anees MSc in Economics The University of Sheffield United Kingdom * * 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/