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  • Hausman test after xtregar

    Dear all,
    I'm performing a Hausman test on panel data to determine whether to choose Random Effects or Fixed Effects for my analysis with AR(1). After performing the test I get a negative chi2 such as:

    hausman fixed random

    Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested
    (13); 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))
    | fixed random Difference S.E.
    -------------+----------------------------------------------------------------

    ....deleted
    ------------------------------------------------------------------------------
    b = consistent under Ho and Ha; obtained from xtregar
    B = inconsistent under Ha, efficient under Ho; obtained from xtregar

    Test: Ho: difference in coefficients not systematic

    chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)
    = -13.34 chi2<0 ==> model fitted on these
    data fails to meet the asymptotic
    assumptions of the Hausman test;
    see suest for a generalized test


    What does this mean? Is this result OK, and it simply means that I should use random effects or something is terribly wrong here?


    I have tried to invert the order, but I guess that it is not make sense...

    hausman random fixed

    Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested
    (13); 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 fixed Difference S.E.
    -------------+----------------------------------------------------------------
    ...deleted
    ------------------------------------------------------------------------------
    b = consistent under Ho and Ha; obtained from xtregar
    B = inconsistent under Ha, efficient under Ho; obtained from xtregar

    Test: Ho: difference in coefficients not systematic

    chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)
    = 13.34
    Prob>chi2 = 0.2719
    (V_b-V_B is not positive definite)


    For the xtregar it is not possible to use sigmamore option or the xtoverid routine but they work only for the xtreg...

    Should I reject the null hypothesis, and use the random effects estimator?





  • #2
    Camino (as per FAQ, please note the preference for real full names and surnames on this forum):
    you may benefit from the reading of an old thread on this topic at http://www.stata.com/statalist/archi.../msg00053.html
    Kind regards,
    Carlo
    (Stata 18.0 SE)

    Comment


    • #3
      thanks Carlo, but either the suest routine or the sigmamore option are not allow with the AR(1) models.

      Comment


      • #4
        Camino:
        (as per FAQ, please note the strong preference for real full names on this forum. Just click on the Contact us button at the bottom of the screen. Thanks).
        I was actually referring to Vince Wiggins' code for augmented regression at the end of that thread.
        Kind regards,
        Carlo
        (Stata 18.0 SE)

        Comment


        • #5
          Similar posts on

          http://www.talkstats.com/showthread....-negative-chi2

          http://stats.stackexchange.com/quest...-negative-chi2

          All these forums have policies that you should tell all parties concerned about cross-posting. Our policy is the easiest to find. It's in the FAQ Advice to which Carlo has already been referred.

          Comment

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