st: RE: Hausman fe re stata 10 & 11

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Vikram,

Stata 11 doesn't report the Hausman stat you request because it's wrong.
Stata 10 shouldn't have been allowing -hausman- with a robust or
cluster-robust VCE, and I think that's why the behavior of Stata 11 is
different.

If you want a robust or cluster-robust Hausman-like statistic, have a
look at -xtoverid-, downloadable from ssc in the usual way.  (In case
you're wondering, from a GMM perspective the Hausman FE vs RE test is a
kind of overidentification test.)

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> vikramfinavker
> Sent: 20 September 2011 17:04
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman fe re stata 10 & 11
> 
> Hi,
> 
> Currently i am using stata 11 and running following regressions.
> 
> Random effects:
> xtreg vw1edf5dec alldev09 vw1mvgroslev vw1retoncap100 vw1lntotassets
> vw1asvol1 vw1excessftse100 vw1curratio d2-d11 yr_99- yr_10, robust
> 
> (est store re)
> Fixed effects:
> 
> xtreg vw1edf5dec alldev09 vw1mvgroslev vw1retoncap100 vw1lntotassets
> vw1asvol1 vw1excessftse100 vw1curratio yr_99- yr_10, robust 
> fe (est store fe)
> 
> After each regressions i am storing residuals to calculate 
> hausman test.
> when i run hausman fe re it gives me following error.
> 
> . hausman fe re
> hausman cannot be used with vce(robust), vce(cluster cvar), 
> or p-weighted data r(198);
> 
> 
> When i do the same thing in state 10 it computes the hausman 
> test and gives me proper results. is anyone aware about this 
> problem. How can i solve this.
> or should i remove robust option from the regression. ??
> 
> 
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> 11-tp6812809p6812809.html
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