在http://forums.eviews.com/viewtopic.php?f=4&p=6573
找到了较官方的解释，应该是出现这个说明EVIEWS计算结果认为RE无效，所以选用FE吧，原文如下：
Any textbook that describes the Hausman test should help you out with the assumptions. The computation of the variance in the Hausman statistic requires that the random effects estimator be fully efficient under the null hypothesis. Specification of robust standard errors suggests, but does not impose, that you believe that the random effects estimator is not fully efficient. Hence the warning.

The reason you probably won't find any textbooks that describe this particular issue is that textbooks focus on the application of the Hausman statistic in the simplest setting...straightforward RE and FE using the conventional estimators of the coefficient covariances. It's only when you start generalizing that issues of this sort come up. I should point out that EViews will not always warn you in cases like this, it's really up to the user to understand what they are doing, but where we can, we try to help out.

非常感谢您的解答。但是现在又有另一个问题。我的是面板数据。如果豪斯曼检验失效，该用固定模型的话，我的解释变量有国家距离和虚拟变量。也就是说cross-section 不能选fixed。也是说不能做chow的固定模型检验or混合模型检验。这个怎么办啊？或者说我做固定模型的回归。但我不能选fixed（有国家距离和虚拟变量）eviews怎么办啊？

有国家距离变量也不能做协整检验的。再加上不能做豪斯曼检验。模型都不可以选了。现在只能做默认的回归。那这个回归还有意义吗？