I am dealing with panel data on 19 UK industries from 1997 to 2018. To test which estimator is most appropriate (pooled OLS / fixed effects / random effects), I run the following regressions.
regress log_y log_rdstock log_kl100000 im log_hc i.year, robust cluster(ID)
xtreg log_y log_rdstock log_kl100000 im log_hc i.year, fe cluster(ID)
xtreg log_y log_rdstock log_kl100000 im log_hc i.year, re cluster(ID)
The Breusch-Pagan test (xttest0) returns a p-value equal to 0. I then attempt to conduct a Hausman test using the following.
estimate store fe
estimate store re
hausman fe re, force
The difference (b - B) for each variable is reported as 0, and the Prob>chi2 is reported as "."
Can anyone explain why my Hausman test is producing these results, and how to amend the issue?
Thanks
0 Response to Hausman Test issue: difference = 0 for every regressor
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