Ramsey test

[Daniel Gomez]

Hi,

Which is the command in Stata 12 for the Ramsey Test with data panel?

Thanks!

[Carlo Lazzaro]

Daniel:
Stata does not have a built-in command for that (ie, something similar to -estat ovtest- after -regress-).
However, you can pretty easily try something alonge the line of -linktest-:

. use "http://www.stata-press.com/data/r15/nlswork.dta"


. xtreg ln_wage age, fe

Fixed-effects (within) regression               Number of obs     =     28,510
Group variable: idcode                          Number of groups  =      4,710

R-sq:                                           Obs per group:
     within  = 0.1026                                         min =          1
     between = 0.0877                                         avg =        6.1
     overall = 0.0774                                         max =         15

                                                F(1,23799)        =    2720.20
corr(u_i, Xb)  = 0.0314                         Prob > F          =     0.0000

------------------------------------------------------------------------------
     ln_wage |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         age |   .0181349   .0003477    52.16   0.000     .0174534    .0188164
       _cons |   1.148214   .0102579   111.93   0.000     1.128107     1.16832
-------------+----------------------------------------------------------------
     sigma_u |  .40635023
     sigma_e |  .30349389
         rho |  .64192015   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(4709, 23799) = 8.81                 Prob > F = 0.0000


. predict fitted, xb
(24 missing values generated)

. g sq_fitted=fitted^2
(24 missing values generated)

. xtreg ln_wage fitted sq_fitted , fe

Fixed-effects (within) regression               Number of obs     =     28,510
Group variable: idcode                          Number of groups  =      4,710

R-sq:                                           Obs per group:
     within  = 0.1087                                         min =          1
     between = 0.1006                                         avg =        6.1
     overall = 0.0865                                         max =         15

                                                F(2,23798)        =    1451.88
corr(u_i, Xb)  = 0.0440                         Prob > F          =     0.0000

------------------------------------------------------------------------------
     ln_wage |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      fitted |   7.143466    .478902    14.92   0.000     6.204788    8.082144
   sq_fitted |  -1.816243    .141469   -12.84   0.000    -2.093531   -1.538955
       _cons |  -5.167788   .4037984   -12.80   0.000    -5.959259   -4.376317
-------------+----------------------------------------------------------------
     sigma_u |   .4039153
     sigma_e |  .30245467
         rho |  .64073314   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(4709, 23798) = 8.74                 Prob > F = 0.0000

. test sq_fitted=0

 ( 1)  sq_fitted = 0

       F(  1, 23798) =  164.83
            Prob > F =    0.0000

.

The -test- outcome points towards a misspecification of -xtreg ln_wage age,fe-, which sounds reasonable, as the original code includes one predictor only.

[Daniel Gomez]

Perfect!!!!! Thank you so much!!! Carlo Lazzaro !!!!