Dear Carlo,
(1)so thisabove is correct? And based on this result using FE is also correct?
I read that if (b-B) is negative this test isn´t good to use.
(2)After running testparm, xttest3 and xtserial -> result is that I need time and entity fixed effects with robust.
So based on this I run my analysis with -xtreg Y X1 i.Jahr i.Unternehmen, fe- or xtreg Y X1 i.Jahr, fe vce (clustering Unternehmen)?
Or I have pay attention to other things before I analysis teh results of my Paneldata?
(1)so thisabove is correct? And based on this result using FE is also correct?
I read that if (b-B) is negative this test isn´t good to use.
(2)After running testparm, xttest3 and xtserial -> result is that I need time and entity fixed effects with robust.
So based on this I run my analysis with -xtreg Y X1 i.Jahr i.Unternehmen, fe- or xtreg Y X1 i.Jahr, fe vce (clustering Unternehmen)?
Or I have pay attention to other things before I analysis teh results of my Paneldata?
Code:
. xtset Unternehmen Jahr
panel variable: Unternehmen (unbalanced)
time variable: Jahr, 2014 to 2018, but with gaps
delta: 1 year
. xtreg Y x1 x2 x3 x4 x5 x6 x7 x8, fe
Fixed-effects (within) regression Number of obs = 342
Group variable: Unternehmen Number of groups = 79
R-sq: Obs per group:
within = 0.6824 min = 1
between = 0.4075 avg = 4.3
overall = 0.5437 max = 5
F(8,255) = 68.49
corr(u_i, Xb) = -0.1496 Prob > F = 0.0000
------------------------------------------------------------------------------
Y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | .0128093 .0153769 0.83 0.406 -.0174725 .0430911
x2 | 4.083074 5.346918 0.76 0.446 -6.446667 14.61282
x3 | -.4497777 .2771056 -1.62 0.106 -.9954846 .0959293
x4 | -11.32917 3.383207 -3.35 0.001 -17.99176 -4.666583
x5 | -3.519048 1.959478 -1.80 0.074 -7.377868 .3397721
x6 | 9.92606 .5804257 17.10 0.000 8.783021 11.0691
x7 | -.0111755 .0053999 -2.07 0.039 -.0218095 -.0005415
x8 | -.1215953 .195648 -0.62 0.535 -.506887 .2636964
_cons | 27.40328 63.19683 0.43 0.665 -97.0509 151.8575
-------------+----------------------------------------------------------------
sigma_u | 21.633437
sigma_e | 13.564273
rho | .71780538 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(78, 255) = 5.95 Prob > F = 0.0000
. estimates store fe
. xtreg Y x1 x2 x3 x4 x5 x6 x7 x8, re
Random-effects GLS regression Number of obs = 342
Group variable: Unternehmen Number of groups = 79
R-sq: Obs per group:
within = 0.6710 min = 1
between = 0.5256 avg = 4.3
overall = 0.6129 max = 5
Wald chi2(8) = 603.60
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | .001746 .012699 0.14 0.891 -.0231436 .0266356
x2 | 2.012407 1.868184 1.08 0.281 -1.649166 5.67398
x3 | -.324558 .261794 -1.24 0.215 -.8376647 .1885488
x4 | -6.478347 2.17762 -2.97 0.003 -10.7464 -2.210291
x5 | -4.722696 1.986387 -2.38 0.017 -8.615943 -.829449
x6 | 10.35883 .5316531 19.48 0.000 9.316814 11.40086
x7 | -.0057961 .0054003 -1.07 0.283 -.0163804 .0047882
x8 | .2675972 .1818282 1.47 0.141 -.0887796 .6239739
_cons | 14.44656 30.33804 0.48 0.634 -45.0149 73.90802
-------------+----------------------------------------------------------------
sigma_u | 15.238365
sigma_e | 13.564273
rho | .55792716 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. estimates store re
. hausmann fe re
command hausmann is unrecognized
r(199);
. hausman fe re
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
x1 | .0128093 .001746 .0110633 .0086708
x2 | 4.083074 2.012407 2.070667 5.009932
x3 | -.4497777 -.324558 -.1252197 .0908373
x4 | -11.32917 -6.478347 -4.850822 2.589221
x5 | -3.519048 -4.722696 1.203648 .
x6 | 9.92606 10.35883 -.4327748 .2328927
x7 | -.0111755 -.0057961 -.0053794 .
x8 | -.1215953 .2675972 -.3891924 .0722263
------------------------------------------------------------------------------
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(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 43.70
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)
.
Comment