st: RE: 'xtoverid"

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

DD,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of D. 
> Demetriou
> Sent: 24 April 2012 18:27
> To: statalist@hsphsun2.harvard.edu
> Subject: st: 'xtoverid"
> 
> Hi everyone,
> 
> This question is adressed to Prof. Mark Schaffer (author of 
> xtoverid)but maybe others can help.
> 
> Xtoverid can be used to decide between FE Vs. RE when 
> heteroskedasticity and/or cluster errors are present.
> 
> My question is: Are the extra orthogonality conditions, which 
> xtoverid is testing, imposed by the FE estimator or by 
> heteroskedasticity and/or clustering?

Neither.

The extra orthogonality conditions being tested are those imposed by the
RE estimator.  These are the conditions that the Xs are orthogonal to
the time-invariant error u_j.

Also, allowing for heteroskedaticity or clustering doesn't "impose"
anything, let alone impose orthogonality conditions.  On the contrary -
it means the test statistic is robust to (has the right distribution
under the null even in the presence of) heteroskedasticity and
clustering.

HTH,
Mark

> Yours,
> 
> DD
> *
> *   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/
> 


-- 
Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012

We invite research leaders and ambitious early career
researchers to join us in leading and driving research
in key inter-disciplinary themes. Please see 

http://www.hw.ac.uk/researchleaders

for further information and how to apply.

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   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/