Code:
. hausman fe re ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe re Difference Std. err. -------------+---------------------------------------------------------------- div_yield | .0171481 .0126373 .0045108 .051287 firm_size | -.1940015 -.3004789 .1064773 .3209853 ------------------------------------------------------------------------------ b = Consistent under H0 and Ha; obtained from xtreg. B = Inconsistent under Ha, efficient under H0; obtained from xtreg. Test of H0: Difference in coefficients not systematic chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 0.12 Prob > chi2 = 0.9432
I also did this command to rerun RE, then test for presence of u_i:
Code:
. quietly xtreg caar div_yield firm_size, re . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects caar[companyid,t] = Xb + u[companyid] + e[companyid,t] Estimated results: | Var SD = sqrt(Var) ---------+----------------------------- caar | 112.5604 10.60945 e | 107.0638 10.34717 u | 6.004459 2.4504 Test: Var(u) = 0 chibar2(01) = 2.89 Prob > chibar2 = 0.0444
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