Hello everybody!
I am running the following models:
1. xtreg DepVar IndepVar1 IndepVar2 IndepVar3, fe. - Fixed effects model
2. xtreg DepVar IndepVar1 IndepVar2 IndepVar3, re. - Random effects model
In both models, the three independent variables result significant (p-value < 0.05 and <0.01). Then I run Hausman test as follows: hausman fixed random, sigmamore. Hausman test rejects Ho, and this suggests me to use Fixed Effects Model.
However, I tried also the following models, using vce(robust):
3. xtreg DepVar IndepVar1 IndepVar2 IndepVar3, fe vce(robust).
4. xtreg DepVar IndepVar1 IndepVar2 IndepVar3, re vce(robust).
In this case, in model 3 IndepVar1 resulted not significant and the other variables resulted significant. In model 4 all variables resulted significant.
I would like to understand why in model 3 IndepVar1 could have resulted not significant and in model 4 they all resulted significant. In models 1 and 2, Hausman test suggested me to trust fixed effects model. In the case of models 3 and 4, how could I know which model to trust? What does the command vce(robust) do exactly? What is the estimator used by this type of regression?
Thank you for reading me!
Best regards!
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