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  • Inconsistent Hausman test results

    I got the following result in Hausman test, What should i do and how do i proceed?

    HTML Code:
     hausman fe re
    
                     ---- Coefficients ----
                 |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
                 |       fe           re         Difference          S.E.
    -------------+----------------------------------------------------------------
              CL |   -.0121911    -.0120548       -.0001363        .0016311
        FirmSize |    1.814593     3.923975       -2.109381        1.705931
          Lindex |   -2.710985    -2.534758       -.1762273        .0146764
    Leveragera~o |   -.4077949    -.3784348       -.0293601          .02599
    Disputedta~s |    .0131212     .0124233        .0006979        .0018266
    ------------------------------------------------------------------------------
                               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(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                              =  -118.84    chi2<0 ==> model fitted on these
                                            data fails to meet the asymptotic
                                            assumptions of the Hausman test;
                                            see suest for a generalized test

  • #2
    Anuradha:
    this annoying behaviour of -hausman- is really frequent.
    You may want to try the community-contributed modules -rhausman- (-search rhausman-) or -xtoverid- (-search xtoverid-).
    Kind regards,
    Carlo
    (Stata 19.0)

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    • #3
      thanks Carlo Lazzaro

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