豪斯曼检验结果如下:
Test: Ho: difference in coefficients not systematic
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 6.37
Prob>chi2 = 0.2719
(V_b-V_B is not positive definite)
稳健豪斯曼检验结果如下:
quietly xtreg roa edi lev growth jsize state,r
. xtoverid
Test of overidentifying restrictions: fixed vs random effects
Cross-section time-series model: xtreg re robust cluster(code)
Sargan-Hansen statistic 9.541 Chi-sq(4) P-value = 0.0489
我的问题是稳健的豪斯曼检验P值小于0.05,是否代表拒绝原假设使用固定效应?我能忽略普通的豪斯曼检验用稳健的豪斯曼检验结果吗?