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st: Question about Hausman test results: V_b - V_B not positive definite
From
Christina SAKALI <[email protected]>
To
statalist <[email protected]>
Subject
st: Question about Hausman test results: V_b - V_B not positive definite
Date
Sat, 14 May 2011 13:20:32 +0300
Hello all,
I am running a panel regression with 121 observations. My question
regards the choice of fixed effects versus random effects
specification.
I carried out a hausman test and the results suggest that I cannot
reject the Ho (Prob > 0.05) which I believe it means that the random
effects model is preferred for my data.
However I also get the message that the variance of the coefficient
difference is not positive definite.
Can someone explain to me what this means and whether I can trust the
Hausman test results to be valid. Should I choose the random effects
specification as more appropriate for my data?
(Results from hausman test are provided below).
Kind regards,
Christina
. hausman
You used the old syntax of hausman. Click here to learn about the new syntax.
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| Consistent Efficient Difference S.E.
-------------+----------------
------------------------------------------------
gg | 1.130961 1.075676 .0552858 .
trade | 1.544293 .4932033 1.05109 .4425236
sec | 3.217286 3.053046 .1642406 .
tert | 4.319199 3.989446 .329753 .
trans | 5.480038 5.574542 -.0945033 .
------------------------------------------------------------------------------
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(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 5.64
Prob>chi2 = 0.3427
(V_b-V_B is not positive definite)
.
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