I am a complete novice in terms of Stata and have encountered a challenge I can’t seem to overcome. I have tried searching the forum (and the web) for answers but haven’t found one that lets me overcome the challenge.
I have a two-way fixed effects model with two-way clustering using reghdfe on panel data with T = 10 and N = 423. To test the use of FE I would like to run a Hausman test. However, I can't seem to figure out how to run a Hausman test with two-way clustering, nor am I sure how to run an equivalent model with RE since I am using reghdfe.
Code:
. reghdfe BVLEV_1 L.INNO L.SIZE L.AGE L.TANG L.PROF L.GRTH L.NDTS L.MrktD c.L.INNO#i.L.MrktD, absorb(Year FIRM) vce(cluster Year FIRM)
Code:
* Example generated by -dataex-. For more info, type help dataex
clear
input float(BVLEV_1 INNO) double(SIZE AGE) float(TANG PROF GRTH NDTS MrktD)
. 0 25.140104442084407 4.736198448394496 .2805809 .1225458 1.728044 0 1
1.0106446 0 25.271209371482893 4.74493212836325 .26030242 .102776 1.0134124 0 1
.9059817 .6931472 25.31613062108747 4.7535901911063645 .24522354 .12964672 1.2477313 0 1
1.0244187 0 25.199010475505425 4.762173934797756 .2690079 .09200912 1.211202 0 1
.9241343 0 25.212149367154357 4.770684624465665 .25968078 .09518524 .9013919 0 1
.9028375 0 25.177729405521426 4.77912349311153 .2600798 .07181802 .9193362 0 1
.8666971 0 25.12733523500807 4.787491742782046 .25805798 .1064541 1.3683108 0 1
.7276743 0 25.279035672649883 4.795790545596741 .2284465 .1694506 1.6841967 0 1
.6681173 0 25.342871330740614 4.804021044733257 .21429476 .15791163 1.3381064 0 1
.3958571 0 25.371792403193993 4.812184355372417 .23927324 .11115817 1.897365 0 1
. 0 25.533537795756093 4.736198448394496 .07599856 .07023368 .7052656 0 1
1.1333276 0 25.54093107974409 4.74493212836325 .08478917 .1016431 .56339264 0 1
1.2531534 0 25.59322043341546 4.7535901911063645 .0899643 .04553749 .4952209 0 1
1.2157818 0 25.646176772676757 4.762173934797756 .08490727 .06337555 .6159959 0 1
1.2367824 0 25.69303746899461 4.770684624465665 .0767672 .05830297 .7429931 0 1
1.2092685 0 25.762287725487898 4.77912349311153 .06659363 .06440251 .6952531 0 1
1.0835882 0 25.717032993922302 4.787491742782046 .06419417 .06779025 .830492 0 1
1.2075226 0 25.79551036601393 4.795790545596741 .062812395 .04183229 .6352618 0 1
1.202427 0 25.87415570568361 4.804021044733257 .06573743 .04855713 .4949357 0 1
1.1884935 0 25.879080258005892 4.812184355372417 .10492945 .05894396 .6899122 0 1
. 5.755742 24.196535787431234 4.736198448394496 .14523625 .08608548 1.1286103 0 1
.6924891 6.234411 24.136589398439337 4.74493212836325 .13476273 .05329347 .6220146 0 1
.7580355 5.958425 24.152208078949545 4.7535901911063645 .1254282 .05762918 .8005841 0 1
.7836558 5.720312 24.13471053509311 4.762173934797756 .13485539 .0600852 .8276075 0 1
.7642021 6.570883 24.215400213631103 4.770684624465665 .15209243 .05421892 1.1268517 0 1
.7537746 6.526495 24.3121315669416 4.77912349311153 .1557181 .09528464 1.0803771 0 1
.7622334 6.122493 24.306479173183142 4.787491742782046 .1659288 .0975802 1.2334186 0 1
.7618092 6.113682 24.39860402051902 4.795790545596741 .16392794 .10700773 1.2668626 0 1
.8007717 5.940171 24.440441160239498 4.804021044733257 .1601782 .05361722 .9788643 0 1
.8087863 4.867535 24.472299213903636 4.812184355372417 0 .0878969 1.0270094 0 1
. 0 21.31712734644807 4.7535901911063645 .6161835 .035405505 .4728191 .0820877 0
.4618512 0 21.337435284753997 4.762173934797756 .55176055 .04723222 .56485796 .07206534 0
.5941403 0 21.36078455087655 4.770684624465665 .6694127 .05526852 .5964243 .04811 0
.6679801 0 21.4577257720642 4.77912349311153 .60712 .08645748 .5824009 .04505779 0
. 0 23.695985336242494 4.736198448394496 .7190117 .04887533 .553095 .03741924 1
.7705187 0 23.86249221018245 4.74493212836325 .7456001 .14748636 .4454397 .033855498 1
.682672 1.609438 23.65903576938081 4.7535901911063645 .3385791 .04103007 .43538275 .035442423 1
.6286231 2.484907 23.587521747769042 4.762173934797756 .3293337 .029031644 .5320368 .03727587 1
.59591955 2.564949 23.578585956841195 4.770684624465665 .3091892 .03524181 .6112404 .034720317 1
.57921785 0 23.57379891306601 4.77912349311153 .2910932 .021688854 .6228262 .05062613 1
.5702116 1.0986123 23.59059639575273 4.787491742782046 .26903787 .05534378 .7834185 .02917658 1
.5314447 1.94591 23.58866160882936 4.795790545596741 .2601817 0 1.0465562 .02840274 1
.5513356 .6931472 23.624852252665107 4.804021044733257 .2459092 .06453186 .7979235 .02741656 1
.4822459 0 24.043795315577245 4.812184355372417 .8499157 .1873104 .7865514 .02106505 1
. 0 22.28098931390445 4.770684624465665 .3840807 .09461883 .8451321 .04506727 1
.6773132 0 22.42692242480151 4.77912349311153 .3791458 .12221717 1.1784273 .04725125 1
.9319066 3.2580965 22.698318613027467 4.787491742782046 .4210063 .07018868 .8177284 .033333335 1
.8060787 2.772589 23.159944664508608 4.795790545596741 .3842118 .1145391 .7923383 .04621534 1
.8309887 1.3862944 23.28126804188242 4.804021044733257 .4161632 .10714693 .6933689 .04023709 1
.908798 .6931472 23.206337470872167 4.812184355372417 .48673666 .079771 .7126593 .04398855 1
. 0 24.037888110112725 4.663439094112067 .20535256 .07454053 .7056163 0 1
.78619 0 24.107147496432795 4.672828834461906 .20766094 .0847304 .5626268 0 1
.759084 0 23.7972083710832 4.68213122712422 .1808103 .0906814 .8042296 0 1
.6937635 0 23.81739443240191 4.6913478822291435 .18839782 .09374084 1.2695315 0 1
.7142321 0 23.8684520637118 4.700480365792417 .18411104 .09293253 1.0812703 0 1
.7059544 0 23.980323373893167 4.709530201312334 .1874382 .1009305 1.300577 0 1
.7414396 0 24.046249393101697 4.718498871295094 .19512346 .064213924 1.0034713 0 1
.6974292 0 24.196225584866482 4.727387818712341 .19427302 .08273678 1.0555807 0 1
.6635369 0 24.272739535271963 4.736198448394496 .20506677 .08730604 .7278484 0 1
.7489944 0 24.335264246751386 4.74493212836325 .23616904 .0170746 .8092557 0 1
. 6.767343 24.84321316656426 4.6443908991413725 .23399247 .1530494 1.5778688 0 1
.6145601 6.999423 24.929092141846183 4.653960350157523 .22023107 .16188905 1.1156516 0 1
.8525485 7.23201 24.901093336322354 4.663439094112067 .2153826 .12069391 1.2227247 0 1
.6608409 7.525101 24.884739312357365 4.672828834461906 .1985463 .05202068 1.0817511 0 1
.6709611 7.751045 24.99147966916149 4.68213122712422 .18963976 .09555482 .9194262 0 1
.6702911 7.624131 25.054709451257363 4.6913478822291435 .19192806 .08739167 .7840677 0 1
.656939 6.656726 25.01080320478844 4.700480365792417 .18766014 .08970646 .9115818 0 1
.8626414 6.364751 25.07917947577587 4.709530201312334 .19410613 .1058089 1.0186787 0 1
.6024605 5.986452 25.19152750567851 4.718498871295094 .19143543 .12674797 .7005265 0 1
.8392656 5.631212 25.18092160765754 4.727387818712341 .2275152 .0998321 .9155501 0 1
. 0 21.286085060398946 4.634728988229636 .18472242 -.03785776 .26592264 0 1
.799298 0 21.361346297431304 4.6443908991413725 .1597743 .05477314 .1627046 0 1
.8547568 0 21.417737140967827 4.653960350157523 .1535219 .05243392 .216123 0 1
.8669059 0 21.487178517425455 4.663439094112067 .1421967 .05316325 .2241691 0 1
.9250264 0 22.04845471091829 4.672828834461906 .10988519 .04891023 .2852529 0 1
.8776872 0 22.17889431155691 4.68213122712422 .09379284 .08198924 .5102885 0 1
.9845775 0 22.577186002682694 4.6913478822291435 .118811 .050721 .55521816 0 1
1.0301828 0 22.966175232858753 4.700480365792417 .11179797 .04159862 .3913315 0 1
.9712481 0 23.10771659050218 4.709530201312334 .10200204 .0592987 .3879843 0 1
1.0335312 0 23.14959836545931 4.718498871295094 .067471266 .03896626 .333397 0 1
. 4.875197 25.389907345032007 4.61512051684126 .19899076 .07385645 .7468041 0 1
.8884309 4.990433 25.346550952369494 4.624972813284271 .244148 .0394978 .4098155 0 1
1.0635477 5.257495 25.424400534081013 4.634728988229636 .2192063 .05449627 .640307 0 1
1.1581262 5.521461 25.41631868691919 4.6443908991413725 .2271549 .0207892 .6342526 0 1
.9200982 5.416101 25.44460887405928 4.653960350157523 .22096443 .04179115 .7652075 0 1
.9452122 4.4426513 25.540138372607856 4.663439094112067 .22103485 .032837752 .7096379 0 1
.9826649 4.4998097 25.521623333047007 4.672828834461906 .21811807 .073082656 .7592581 0 1
.94481 4.1743875 25.530462163010963 4.68213122712422 .21400774 .08259459 .8449045 0 1
.9603899 2.833213 25.546004059923572 4.6913478822291435 .21670502 .05456676 .5521333 0 1
1.0113537 2.0794415 25.51107419627515 4.700480365792417 .2304509 .029857313 .6177271 0 1
. .6931472 26.30204804427632 4.564348191467836 .23235023 .05660253 .7365565 0 1
1.0989978 0 26.461021305173926 4.574710978503383 .22211842 .0761485 .4265231 0 1
1.0847838 0 26.439131679448664 4.584967478670572 .2480531 .0520219 .5241512 0 1
1.1244308 0 26.33223200982412 4.59511985013459 .22592357 .020700116 .4890538 0 1
1.299305 0 26.368868199539683 4.605170185988092 .22564612 .015210397 .4428461 0 1
1.0879376 0 26.482558701533332 4.61512051684126 .23024334 0 .42624265 0 1
1.0736886 0 26.434295321811224 4.624972813284271 .22703527 .05220648 .53496367 0 1
1.0511376 2.0794415 26.541242693517702 4.634728988229636 .21943107 .07352107 .7395294 0 1
1.1086005 0 26.69660714579725 4.6443908991413725 .2080971 .0726368 .4884022 0 1
1.0815631 0 26.79659604452628 4.653960350157523 .18448013 .09437406 .6085445 0 1
end
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