运行hausman命令后,警告中指出矩阵秩不同,我不知道这个有什么问题,我该做些什么?如果我不管它,直接下结论采用固定效应模型有问题吗?请高手指教!
. hausman fixed rde //判断选择FE|RE,原假设是随机模型的设定条件得到满足
Note: the rank of the differenced variance matrix (3) does not equal the number of coefficients
being tested (4); 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))
| fixed rde Difference S.E.
-------------+----------------------------------------------------------------
x | -109.6625 -2.451797 -107.2107 .
x2 | 11.89702 .4500754 11.44695 .
x3 | -.4273625 -.0216066 -.4057559 .
ylag1 | .1544621 .7349175 -.5804555 .0227626
------------------------------------------------------------------------------
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(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 631.44
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)