When checking to go for fixed or random effect model the hausman test returns: (V_b-V_B is not positive definite)
Can someone explain what is going on?
This is my input:
. xtreg symAf1 scandal ov_cc ln_ta ln_rev max_severity scandalcheck gender_female ceo_left i.year, fe
Fixed-effects (within) regression Number of obs = 3,466
Group variable: isinN Number of groups = 348
R-squared: Obs per group:
Within = 0.0807 min = 9
Between = 0.0105 avg = 10.0
Overall = 0.0645 max = 10
F(17,3101) = 16.02
corr(u_i, Xb) = -0.0939 Prob > F = 0.0000
-------------------------------------------------------------------------------
symAf1 | Coefficient Std. err. t P>|t| [95% conf. interval]
--------------+----------------------------------------------------------------
scandal | 1.549997 .5297553 2.93 0.003 .5112905 2.588704
ov_cc | -2.00458 .7226264 -2.77 0.006 -3.421455 -.5877055
ln_ta | -.5018562 .705017 -0.71 0.477 -1.884204 .8804912
ln_rev | -.0598661 .7202941 -0.08 0.934 -1.472168 1.352436
max_severity | -.6217514 .3120612 -1.99 0.046 -1.233619 -.0098839
scandalcheck | -.7569737 .5122314 -1.48 0.140 -1.761321 .2473733
gender_female | .4642782 .9205489 0.50 0.614 -1.340669 2.269225
ceo_left | -.6074617 .5859492 -1.04 0.300 -1.756349 .5414262
|
year |
2011 | -.8468325 .5626149 -1.51 0.132 -1.949968 .2563029
2012 | -3.476982 .5655172 -6.15 0.000 -4.585808 -2.368156
2013 | -5.135926 .5710935 -8.99 0.000 -6.255685 -4.016166
2014 | -4.233517 .5810325 -7.29 0.000 -5.372764 -3.094269
2015 | -2.752737 .5803346 -4.74 0.000 -3.890616 -1.614857
2016 | -1.941065 .5854607 -3.32 0.001 -3.088995 -.7931351
2017 | -1.374717 .5922833 -2.32 0.020 -2.536025 -.2134099
2018 | .7371546 .5988942 1.23 0.218 -.4371147 1.911424
2019 | .9679316 .6284136 1.54 0.124 -.2642174 2.20008
|
_cons | 18.10061 12.98603 1.39 0.163 -7.36148 43.56269
--------------+----------------------------------------------------------------
sigma_u | 3.07719
sigma_e | 7.3779773
rho | .14817774 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(347, 3101) = 1.62 Prob > F = 0.0000
. estimates store fe
. xtreg symAf1 scandal ov_cc ln_ta ln_rev max_severity scandalcheck gender_female ceo_left i.year, re
Random-effects GLS regression Number of obs = 3,466
Group variable: isinN Number of groups = 348
R-squared: Obs per group:
Within = 0.0790 min = 9
Between = 0.0378 avg = 10.0
Overall = 0.0729 max = 10
Wald chi2(17) = 279.74
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
-------------------------------------------------------------------------------
symAf1 | Coefficient Std. err. z P>|z| [95% conf. interval]
--------------+----------------------------------------------------------------
scandal | 1.426404 .5052439 2.82 0.005 .4361439 2.416663
ov_cc | -.3704852 .4421185 -0.84 0.402 -1.237022 .4960512
ln_ta | -.0782882 .1594136 -0.49 0.623 -.3907331 .2341567
ln_rev | -.3988242 .1825832 -2.18 0.029 -.7566807 -.0409678
max_severity | -.5711134 .2877424 -1.98 0.047 -1.135078 -.0071488
scandalcheck | -.6836392 .4743194 -1.44 0.149 -1.613288 .2460097
gender_female | .0034313 .654536 0.01 0.996 -1.279436 1.286298
ceo_left | -.7298028 .5687446 -1.28 0.199 -1.844522 .3849162
|
year |
2011 | -.8456373 .5604301 -1.51 0.131 -1.94406 .2527855
2012 | -3.479558 .5602224 -6.21 0.000 -4.577574 -2.381542
2013 | -5.143497 .5613902 -9.16 0.000 -6.243802 -4.043193
2014 | -4.23394 .5648867 -7.50 0.000 -5.341097 -3.126782
2015 | -2.763149 .5633926 -4.90 0.000 -3.867379 -1.65892
2016 | -1.968737 .5632368 -3.50 0.000 -3.072661 -.8648132
2017 | -1.378294 .5633773 -2.45 0.014 -2.482493 -.2740948
2018 | .7463297 .5632567 1.33 0.185 -.3576331 1.850293
2019 | .9926731 .5823127 1.70 0.088 -.1486389 2.133985
|
_cons | 15.77485 3.370074 4.68 0.000 9.169627 22.38007
--------------+----------------------------------------------------------------
sigma_u | 1.8488825
sigma_e | 7.3779773
rho | .0590872 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
. estimates store re
. hausman fe re
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1592774
ov_cc | -2.00458 -.3704852 -1.634095 .5715944
ln_ta | -.5018562 -.0782882 -.423568 .6867578
ln_rev | -.0598661 -.3988242 .3389581 .6967689
max_severity | -.6217514 -.5711134 -.050638 .1207748
scandalcheck | -.7569737 -.6836392 -.0733346 .1933962
gender_fem~e | .4642782 .0034313 .4608469 .6472967
ceo_left | -.6074617 -.7298028 .1223411 .140947
year |
2011 | -.8468325 -.8456373 -.0011952 .0495338
2012 | -3.476982 -3.479558 .0025756 .0772047
2013 | -5.135926 -5.143497 .0075716 .1048275
2014 | -4.233517 -4.23394 .000423 .1360212
2015 | -2.752737 -2.763149 .0104129 .1392015
2016 | -1.941065 -1.968737 .0276719 .1597766
2017 | -1.374717 -1.378294 .0035768 .1827719
2018 | .7371546 .7463297 -.0091751 .2035095
2019 | .9679316 .9926731 -.0247415 .2362531
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(17) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 9.69
Prob > chi2 = 0.9160
(V_b-V_B is not positive definite)
. hausman fe re, sigmamore
Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested
(17); 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))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1596002
ov_cc | -2.00458 -.3704852 -1.634095 .5717619
ln_ta | -.5018562 -.0782882 -.423568 .6868905
ln_rev | -.0598661 -.3988242 .3389581 .6969055
max_severity | -.6217514 -.5711134 -.050638 .1209226
scandalcheck | -.7569737 -.6836392 -.0733346 .1936449
gender_fem~e | .4642782 .0034313 .4608469 .6475368
ceo_left | -.6074617 -.7298028 .1223411 .141393
year |
2011 | -.8468325 -.8456373 -.0011952 .0506922
2012 | -3.476982 -3.479558 .0025756 .0779607
2013 | -5.135926 -5.143497 .0075716 .1053966
2014 | -4.233517 -4.23394 .000423 .1364756
2015 | -2.752737 -2.763149 .0104129 .1396445
2016 | -1.941065 -1.968737 .0276719 .1601696
2017 | -1.374717 -1.378294 .0035768 .1831236
2018 | .7371546 .7463297 -.0091751 .2038325
2019 | .9679316 .9926731 -.0247415 .2365594
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 11.18
Prob > chi2 = 0.3434
(V_b-V_B is not positive definite)
. hausman fe re, sigmaless
Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested
(17); 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))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1595709
ov_cc | -2.00458 -.3704852 -1.634095 .5716571
ln_ta | -.5018562 -.0782882 -.423568 .6867646
ln_rev | -.0598661 -.3988242 .3389581 .6967777
max_severity | -.6217514 -.5711134 -.050638 .1209004
scandalcheck | -.7569737 -.6836392 -.0733346 .1936094
gender_fem~e | .4642782 .0034313 .4608469 .647418
ceo_left | -.6074617 -.7298028 .1223411 .1413671
year |
2011 | -.8468325 -.8456373 -.0011952 .0506829
2012 | -3.476982 -3.479558 .0025756 .0779464
2013 | -5.135926 -5.143497 .0075716 .1053773
2014 | -4.233517 -4.23394 .000423 .1364506
2015 | -2.752737 -2.763149 .0104129 .1396189
2016 | -1.941065 -1.968737 .0276719 .1601402
2017 | -1.374717 -1.378294 .0035768 .18309
2018 | .7371546 .7463297 -.0091751 .2037951
2019 | .9679316 .9926731 -.0247415 .236516
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 11.19
Prob > chi2 = 0.3431
(V_b-V_B is not positive definite)
Can someone explain what is going on?
This is my input:
. xtreg symAf1 scandal ov_cc ln_ta ln_rev max_severity scandalcheck gender_female ceo_left i.year, fe
Fixed-effects (within) regression Number of obs = 3,466
Group variable: isinN Number of groups = 348
R-squared: Obs per group:
Within = 0.0807 min = 9
Between = 0.0105 avg = 10.0
Overall = 0.0645 max = 10
F(17,3101) = 16.02
corr(u_i, Xb) = -0.0939 Prob > F = 0.0000
-------------------------------------------------------------------------------
symAf1 | Coefficient Std. err. t P>|t| [95% conf. interval]
--------------+----------------------------------------------------------------
scandal | 1.549997 .5297553 2.93 0.003 .5112905 2.588704
ov_cc | -2.00458 .7226264 -2.77 0.006 -3.421455 -.5877055
ln_ta | -.5018562 .705017 -0.71 0.477 -1.884204 .8804912
ln_rev | -.0598661 .7202941 -0.08 0.934 -1.472168 1.352436
max_severity | -.6217514 .3120612 -1.99 0.046 -1.233619 -.0098839
scandalcheck | -.7569737 .5122314 -1.48 0.140 -1.761321 .2473733
gender_female | .4642782 .9205489 0.50 0.614 -1.340669 2.269225
ceo_left | -.6074617 .5859492 -1.04 0.300 -1.756349 .5414262
|
year |
2011 | -.8468325 .5626149 -1.51 0.132 -1.949968 .2563029
2012 | -3.476982 .5655172 -6.15 0.000 -4.585808 -2.368156
2013 | -5.135926 .5710935 -8.99 0.000 -6.255685 -4.016166
2014 | -4.233517 .5810325 -7.29 0.000 -5.372764 -3.094269
2015 | -2.752737 .5803346 -4.74 0.000 -3.890616 -1.614857
2016 | -1.941065 .5854607 -3.32 0.001 -3.088995 -.7931351
2017 | -1.374717 .5922833 -2.32 0.020 -2.536025 -.2134099
2018 | .7371546 .5988942 1.23 0.218 -.4371147 1.911424
2019 | .9679316 .6284136 1.54 0.124 -.2642174 2.20008
|
_cons | 18.10061 12.98603 1.39 0.163 -7.36148 43.56269
--------------+----------------------------------------------------------------
sigma_u | 3.07719
sigma_e | 7.3779773
rho | .14817774 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(347, 3101) = 1.62 Prob > F = 0.0000
. estimates store fe
. xtreg symAf1 scandal ov_cc ln_ta ln_rev max_severity scandalcheck gender_female ceo_left i.year, re
Random-effects GLS regression Number of obs = 3,466
Group variable: isinN Number of groups = 348
R-squared: Obs per group:
Within = 0.0790 min = 9
Between = 0.0378 avg = 10.0
Overall = 0.0729 max = 10
Wald chi2(17) = 279.74
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
-------------------------------------------------------------------------------
symAf1 | Coefficient Std. err. z P>|z| [95% conf. interval]
--------------+----------------------------------------------------------------
scandal | 1.426404 .5052439 2.82 0.005 .4361439 2.416663
ov_cc | -.3704852 .4421185 -0.84 0.402 -1.237022 .4960512
ln_ta | -.0782882 .1594136 -0.49 0.623 -.3907331 .2341567
ln_rev | -.3988242 .1825832 -2.18 0.029 -.7566807 -.0409678
max_severity | -.5711134 .2877424 -1.98 0.047 -1.135078 -.0071488
scandalcheck | -.6836392 .4743194 -1.44 0.149 -1.613288 .2460097
gender_female | .0034313 .654536 0.01 0.996 -1.279436 1.286298
ceo_left | -.7298028 .5687446 -1.28 0.199 -1.844522 .3849162
|
year |
2011 | -.8456373 .5604301 -1.51 0.131 -1.94406 .2527855
2012 | -3.479558 .5602224 -6.21 0.000 -4.577574 -2.381542
2013 | -5.143497 .5613902 -9.16 0.000 -6.243802 -4.043193
2014 | -4.23394 .5648867 -7.50 0.000 -5.341097 -3.126782
2015 | -2.763149 .5633926 -4.90 0.000 -3.867379 -1.65892
2016 | -1.968737 .5632368 -3.50 0.000 -3.072661 -.8648132
2017 | -1.378294 .5633773 -2.45 0.014 -2.482493 -.2740948
2018 | .7463297 .5632567 1.33 0.185 -.3576331 1.850293
2019 | .9926731 .5823127 1.70 0.088 -.1486389 2.133985
|
_cons | 15.77485 3.370074 4.68 0.000 9.169627 22.38007
--------------+----------------------------------------------------------------
sigma_u | 1.8488825
sigma_e | 7.3779773
rho | .0590872 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
. estimates store re
. hausman fe re
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1592774
ov_cc | -2.00458 -.3704852 -1.634095 .5715944
ln_ta | -.5018562 -.0782882 -.423568 .6867578
ln_rev | -.0598661 -.3988242 .3389581 .6967689
max_severity | -.6217514 -.5711134 -.050638 .1207748
scandalcheck | -.7569737 -.6836392 -.0733346 .1933962
gender_fem~e | .4642782 .0034313 .4608469 .6472967
ceo_left | -.6074617 -.7298028 .1223411 .140947
year |
2011 | -.8468325 -.8456373 -.0011952 .0495338
2012 | -3.476982 -3.479558 .0025756 .0772047
2013 | -5.135926 -5.143497 .0075716 .1048275
2014 | -4.233517 -4.23394 .000423 .1360212
2015 | -2.752737 -2.763149 .0104129 .1392015
2016 | -1.941065 -1.968737 .0276719 .1597766
2017 | -1.374717 -1.378294 .0035768 .1827719
2018 | .7371546 .7463297 -.0091751 .2035095
2019 | .9679316 .9926731 -.0247415 .2362531
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(17) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 9.69
Prob > chi2 = 0.9160
(V_b-V_B is not positive definite)
. hausman fe re, sigmamore
Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested
(17); 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))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1596002
ov_cc | -2.00458 -.3704852 -1.634095 .5717619
ln_ta | -.5018562 -.0782882 -.423568 .6868905
ln_rev | -.0598661 -.3988242 .3389581 .6969055
max_severity | -.6217514 -.5711134 -.050638 .1209226
scandalcheck | -.7569737 -.6836392 -.0733346 .1936449
gender_fem~e | .4642782 .0034313 .4608469 .6475368
ceo_left | -.6074617 -.7298028 .1223411 .141393
year |
2011 | -.8468325 -.8456373 -.0011952 .0506922
2012 | -3.476982 -3.479558 .0025756 .0779607
2013 | -5.135926 -5.143497 .0075716 .1053966
2014 | -4.233517 -4.23394 .000423 .1364756
2015 | -2.752737 -2.763149 .0104129 .1396445
2016 | -1.941065 -1.968737 .0276719 .1601696
2017 | -1.374717 -1.378294 .0035768 .1831236
2018 | .7371546 .7463297 -.0091751 .2038325
2019 | .9679316 .9926731 -.0247415 .2365594
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 11.18
Prob > chi2 = 0.3434
(V_b-V_B is not positive definite)
. hausman fe re, sigmaless
Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested
(17); 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))
| fe re Difference Std. err.
-------------+----------------------------------------------------------------
scandal | 1.549997 1.426404 .1235934 .1595709
ov_cc | -2.00458 -.3704852 -1.634095 .5716571
ln_ta | -.5018562 -.0782882 -.423568 .6867646
ln_rev | -.0598661 -.3988242 .3389581 .6967777
max_severity | -.6217514 -.5711134 -.050638 .1209004
scandalcheck | -.7569737 -.6836392 -.0733346 .1936094
gender_fem~e | .4642782 .0034313 .4608469 .647418
ceo_left | -.6074617 -.7298028 .1223411 .1413671
year |
2011 | -.8468325 -.8456373 -.0011952 .0506829
2012 | -3.476982 -3.479558 .0025756 .0779464
2013 | -5.135926 -5.143497 .0075716 .1053773
2014 | -4.233517 -4.23394 .000423 .1364506
2015 | -2.752737 -2.763149 .0104129 .1396189
2016 | -1.941065 -1.968737 .0276719 .1601402
2017 | -1.374717 -1.378294 .0035768 .18309
2018 | .7371546 .7463297 -.0091751 .2037951
2019 | .9679316 .9926731 -.0247415 .236516
------------------------------------------------------------------------------
b = Consistent under H0 and Ha; obtained from xtreg.
B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
Test of H0: Difference in coefficients not systematic
chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 11.19
Prob > chi2 = 0.3431
(V_b-V_B is not positive definite)
Comment