求助请问 hausman 检验的结果的一个问题

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收藏 2009-07-09

我在选择FE还是RE时，进行了HAUSMAN检验
结果如下。请问如何解释？尤其是蓝色部分。谢谢！
               ---- Coefficients ----
                        |    (b)       (B)          (b-B)    sqrt(diag(V_b-V_B))
                        |    fixed       random    Difference       S.E.
-------------+----------------------------------------------------------------
                  FD2 | .4368926    .1993422       .2375505             .
         COMPE2 |    .003766 -.0014682       .0052342             .
  FD2_COMPE2 | -.0008086 -.0004563    -.0003524             .
               ubran | -.0735343 -.0575737    -.0159606       .0205938
         dumm04 | .2372146    .3822152    -.1450006             .
            pergdp | -.0002374    -.000368       .0001307       .0000539
   pergdpsque | 9.54e-09    1.36e-08    -4.04e-09             .
            govsize | -91.67143 -88.24138    -3.430048       21.42593
            hitrate | .1989752    .0466744       .1523008             .
------------------------------------------------------------------------------
                       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)
                        = -17.64 chi2<0 ==> model fitted on these
                                    data fails to meet the asymptotic
                                    assumptions of the Hausman test;
                                    see suest for a generalized test

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fdtang

2009-7-13 09:53:20

1、这很可能标明模型设定有误，可尝试改变模型变量设定
2、如果认为设定无误，可用广义hausman检验（woodridge 2002,p290-191, panel hausman test）
程序如下（注意：将[idcode]\[depvarlist]\[varlist]根据自身模型数据修改，idcode指crosssection indicator）
local id [idcode]
local depvar [depvarlist]
local varlist [varlist]

iis `id'
xtreg `depvar' `varlist' , re

local i 0
foreach var of varlist `varlist' {
egen mymean`++i' = mean(`var') if e(sample), by(`id')
}
xtreg `depvar' `varlist' mymean1-mymean`i' , re

testparm mymean1-mymean`i'

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