Re: st: RE: panel data fixed vs random

[Nick Cox <njcoxstata@gmail.com>]

0.0552 is not less than 0.05, even though 0.0052 is in this context a
little deal.

Nick

On Sun, Feb 3, 2013 at 10:07 PM, olorunfemi sola <solafem7@yahoo.co.uk> wrote:
> Pietro,
> In your first result the prob>chi2 value is not known. But in your second result it was given to be 0.0552.
>  which is less than
> 0.05 (i.e significant) so you can use fixed effect. I think you can equally use Breusch and Pagan Lagrangian Multiplier test for random effects to know if truly it is not okay. I think others are listening to correct us if this position is not right.
>
>
>
>
>
> ***********************************************************************
> SOLA OLORUNFEMI   Ph.D
> SENIOR LECTURER
>  DEAPARTMENT OF ECONOMICS
> ADEKUNLE AJASIN UNIVERSITY
> AKUNGBA AKOKO
> ONDO STATE NIGERIA
> official e-mail: olorunfemi@adekunleajasinuniversity.edu.ng
> TEL NO +234 803 581 0893
>
> **********************************************************************
>
>
> ________________________________
> From: PIETRO MASCI <pete888888@msn.com>
> To: statalist <statalist@hsphsun2.harvard.edu>
> Sent: Saturday, 2 February 2013, 8:09
> Subject: st: RE: panel data fixed vs random
>
> Hi
>
> i am using a panel data and run fixed effects and stored and random effects and stored to perform the hausman test.
> when i use
> hausman fix random
> i get the following output:
>
> Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients
>         being tested (4); be sure this is what you expect, or there may be problems computing
>         the test.  Examine the output of your estimators for anything unexpected and possibly
>         consider scaling your variables so that the coefficients are on a similar scale.
>
>                  ---- Coefficients ----
>              |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
>              |      fix         random       Difference          S.E.
> -------------+----------------------------------------------------------------
> Penetratio~2 |   -83456.95    -29177.79       -54279.16               .
> GastosSaud~a |    .6067533    -4.087394        4.694147               .
> MortHomicp~b |     4.54167     65.12774       -60.58607               .
> interinsfi~a |     .238441     .3677846       -.1293436               .
> ------------------------------------------------------------------------------
>                            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)
>                           =    -5.80    chi2<0 ==> model fitted on these
>                                         data fails to meet the asymptotic
>                                         assumptions of the Hausman test;
>                                         see suest for a generalized test
>
> If i run the hausman test in the reverse order:
>
> hausman random fix
>
> i get the following output:
>
> Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients
>         being tested (4); be sure this is what you expect, or there may be problems computing
>         the test.  Examine the output of your estimators for anything unexpected and possibly
>         consider scaling your variables so that the coefficients are on a similar scale.
>
>                  ---- Coefficients ----
>              |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
>              |     random        fix         Difference          S.E.
> -------------+----------------------------------------------------------------
> Penetratio~2 |   -29177.79    -83456.95        54279.16        56513.77
> GastosSaud~a |   -4.087394     .6067533       -4.694147        2.920822
> MortHomicp~b |    65.12774      4.54167        60.58607        31.10263
> interinsfi~a |    .3677846      .238441        .1293436        .0192787
> ------------------------------------------------------------------------------
>                            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)
>                           =        5.80
>                 Prob>chi2 =      0.0552.
>
> How do i interpret the test?
> should i reject the fixed effects based on the chisquare of the second output (5.8;0.055)?
> should i transform/scale the variables? use log?
>
>
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