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Hausman test in Stata - How to choose between Random vs Fixed effect model
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- Опубліковано 29 січ 2016
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I gotta say, the baby crying in the background is the exact personification of how I feel trying to learn Stata
This person who did the videos may have been doing it for fun but he deserves the best things...you have done great and your video I rate it 10/10!
This was a wonderful series of videos, Dr. Sarveshwar. Thank you for your excellent help.
Dear friend I faced with a problem in selecting the either the fixed effect or random effect? after running the Hausman test the result is suest? dont know how to select the proper model?
thank you sir. after watching all of your vedios related to STATA. i have really got some good insights. Kindly post more vedios related to STATA on panel data.
I couldn't follow the interpretation of the results. How do you conclude that it is rather fe than re and not vise versa?
Hi, I got a p-value of 0.26 on Hausman test. Does that mean that I must do the Random-effects model and reject the Fixed-effects? I am a little confused. Thank you!
you explain better that my lecturer
Many thanks! very clear and simple. gracias from Argentina dear Inani
Dear Dr. Sarveshwar. Thank you for your videos. They are helping me a lot. I have one very basic question. In order to implement system GMM panel regression, what steps should I do? First Hausman test or Breusch pagan test or Multicollinearity test or any other tests.... I am lost abit. Please help. Thank you.
Nice vedios thanks to your wife who is taking care of little angel give time to you to record this vedio
I'm getting negative value from hausman test with a note as follows:
-379.07
chi2 model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
Superb explanation.
you doing superb job ...
You are welcome!
i already checked auto-correlation and hydroelectricity for my data. could you please guide me what others necessary test should i run before running regression for my panel data
Thanks brother, you are doing amazing, your videos are really very helpful... Keep uploading videos...
Thanks a lot for such a nice comment...:)
My prob > chi2 = 0.0010. Is is then still the fixed effect model?
should i include time fixed effects when testing?
What is b, B coefficient in table?
Thank for very clear explanation. I also want to know about how to run FMOLS in STATA.
thank you very much Dr. Inani. you are a life saver!
I got prob>chi2= 0.0047 therefore reject null at 5 percent
but when I apply FE, most of my x variables are not significant at 0.05%
I'm getting a warning from the Hausman test even though it computes. It says: "Note: the rank of the differenced variance matrix (2) does not equal the number of coefficients
being tested (4); be sure this is what you expect, or there may be problems computing the
test. Examine the output of your estimators for anything unexpected and possibly
consider scaling your variables so that the coefficients are on a similar scale.". (Im not using a time variable). Can I still trust this test?
If you got a solution please share
Hi, I am trying to follow the steps in the video but I keep getting the no observations error in the xtreg step. I tried the count if function to check if anything was missing and it gives me a number for the observations missing but there isn't really anything missing. It is yearly data and all of it is there. Can someone please help me out? Thanks!
Which method is estimation should be used if there are random effects
Hi, my p value is 0.1042.. I should accept null hypothesis, right?
Would you perhaps know if we can also perform a Hausman test by using xtlogit instead of xtreg?
you have shown example with two variables. What should you do if you have control variables?
I have run my model as per your video .hausman Fixed. and my chi result is Prob>chi2 =0.2990; it is more than 5% so is it mean that Null Hypothesis (Random Model is appropriate) is correct?
or my model fails?
Explanations very clear. Thank you so much for your video !!
I get that Hausman test can be used to decide between fixed effects and random effect models. But what if I have to choose between them and Pooled OLS? How can I decide which to choose among those 3 models and how to do that in Stata? Any help pls. Thanks
good job, in your opinion what is the best model for a heterogenous cross dependence panel data of T>N?
Prob>chi2 = 0.2547 what should I use, random or fixed?
GREAT VIDEO Dr Sarveshwar, more than helpful!
can we use the random effect and fixed effect model for time series data?
Thank you for the video. I want to ask a question about the study I run, I have a dummy variable as independant VARIABLE, should I run a regression for the two groups (0 and 1 ) simultanously, or run a regression for each one? (I have a panel data too). Thanks
I have some specific questions:
(1) If the Hausman test favors the RE model over the FE model, can I still proceed with using the FE model? (It is because in the management field, considering that FE is more prevalent in research papers.) Is the Hausman test an absolute criterion?
(2) I am using a two-way model with i.time and i.industry. Can both FE and RE models be applied in this case, or is only FE suitable?
(3) In one of your UA-cam videos, you mentioned that when time-invariant variables (e.g., gender) are included, the RE model [(cov(z_i, u_i) ≠ 0)] instead of FE model [(cov(z_i, u_i) = 0)] is more likely to be preferred. In my case, the independent variables consist of "diversity" measured by gender, age, and education level. As age is a time-variant variable, would it still be appropriate to favor the RE model?
(4) The secondary panel data includes industry classifications with 2-digit and 3-digit numbers. When conducting research with industry as a factor, is there a preference for using 2-digit or 3-digit numbers? Or is it at the discretion of the researcher? (It is because there is limited specific explanation in previous studies). I have reached out to the authors, but they used different industry numbers in each case.
Thank you.
I am looking forward your response for my question.
Sincerely,
James
Have u got ur result bro?
My question is same if hausman test dont support random effect then may i use random effect?
@@alljkkjj What is answer for that "if hausman test dont support random effect then may i use random effect?"?
@@user-lt1np9up8r no bro.
You can not.i got this answer
Hi, thank for your video concerning fixed and random effect. i found like Mavie Thwala to a same conlusion that hausman test value < 0 (-35); can i know why you advice us to use the fixed effect rather than random effect. thank
Very useful sir
thank you for the informative video!
do you by any chance have a tutorial on how to run the breusch-pagan lagrange multiplier test too?
Thank you very much sir!
Sir why you didn't use "Dummies" for individual effects?
How can we interpret the values for sigma_u and sigma_e and rho?
Thank you very much for your guids! Very clear and helpfull
Thank you for your help video.However, I faced with the following problem when running the test with AR(1). Stata shows that "Note: the rank of the differenced variance matrix (8) does not equal the
number of coefficients being tested (10); be sure this is what
you expect, or there may be problems computing the test.
Examine the output of your estimators for anything unexpected
and possibly consider scaling your variables so that the
coefficients are on a similar scale."Can you help me fix the problem?Thanks.
Did you get a reply to this?, if you did kindly share facing similar issues
For running fixed effect or random effect is it necessary to test unit root?
hi, other researcher have proposed to go up and use the command ""suest" for a generalize test. my question is how to use that command. thk
I have seen ur three videos of stata.amazing.i was having many doubts. Clear now. As stata is new for me.bt I want GMM.plz provide.
It's super. Sir, m using random effect after hausman test.but fir state and time fixed , can I have to use region or state fixed effects???
can this hausman test running in SPSS ? I've a data but I seems can't find a way to do so
Respected sir ,first of all thank you for explaing these concept in such a simple way. i am also doing panel data analysis , can you please help me regarding to know which test is best for checking autocorelation in panel data set? and what are the stata commands for the same.
You discussed only balanced panel. kindly send me any link which guide me how to develop or shape data in excel for unbalanced data set and after that what are different econometrics model options we have to analysis of unbalanced data. Thanks
Thank you for the video
Dear Sarveshwar, Great videos, very helpful! Question on the interpretation of the RE outcome in Stata. Below the Beta Values are the values for sigma_u and sigma_e en rho. How can we interpreted these values? From these values can we tell if our model is unbiased, inefficient, or something?
Dear sir. I have two question. Firstly, you ran fixed effects without taking into account heteroskedasticity and autocorrelation concenrs. Why? isn't it important. Secondly, after taking into account Hausman test, then we have to consider heteroskedasticy and autocorrelation concerns. Right? (all your presentation are very understandable)
My purpose was to explain how to do fixed and random effects in STATA. But You are right that we should be concerned about heteroscedasticity and autocorrelation every time when we do any regression...
Thus im every step we have to concern for both and thenstore the values etc.... Furtheremore vce(robust) command is sufficient both for heter and autocor? (thanks a lot for your respone)
Grigoris Giannarakis I think so...But refer to some quality papers in your area as well.
Had the same. quiz
Prob>chi2 = 1.0000
(V_b-V_B is not positive definite)
what is that mean?
Thank you for clear explanation
I have some question regarding HAUSMAN TEST
1. SHOULD I do It before stationarity test or after? I mean after first difference or before
Thank you in advance
after the stationarity test you can go for hausman test
Is there any need to run diagnostic test
..plz explain
VERY good! Quick and really helpfull! Go on bro
awesome jiju 37k views
prateek here
thank you for sharing this video, its help me a lot. thank you.
Hi, I have a message after I ran the Hausman test:
chi2 model fitted on these
data fails to meet the asymptotic
assumptions of the Hausman test;
see suest for a generalized test
What is the problems and how can I deal with it?
Thank you.
KT P hdhdb
Thank you so much, very helpful!
Thank you for your video, i ran the Hausman test and the value of chi^2 < 0 and it seems like my model has failed the asymptotic assumption for the Hausman test. Please advise what to do next.
Use Fixed effect model...
@@SarveshwarInani Sir, my result shows chi2 =0.00 and Prob>chi 2 = . I mean it shows dot sign . what does it imply, kindly let me know.
@@disha6177 facing same problem i think u have did it. So what should i do.
Dear friend, what if chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 5.20
Prob > chi2 = 0.7363
That mean random effects model is more appropriate?
You are awesome! Greetings from Germany
Thanks
Dear friend, I want to ask about R square, it looks low, I mean
R square
within = 0.0000
between = 0.0000
overall = 0.0620
Is that ok or what can I do if it is not ok?
Slm. sorunuzun cevabini bulabildiniz mi?? Ayni sorun bendede var..
@@abdullahsahinturk96 bir çalışmada bu modellerde en iyi r2 aralığı 0.20 ile 0.40 arası olduğu belirtiliyor. Bu Aralık içinde değilse model yine kullanılabilir ancak bu aralıktan ne kadar uzaksa modelin temsiliyeti o kadar azalıyor. Literatürde 0.07 bile kullanan var
I have a problem... hausman test chi square =-20.22
this video has saved me, friend!
thank you for this
If random is selected after the Hausman test, what is my next step? what do I need to type in the command?
+shikha bodhoo If random is selected then use re as we have used in my video. For details watch this video from 9th minute onwards...ua-cam.com/video/vWpeIJyhhOI/v-deo.html
+Sarveshwar Inani okay I got it. thank you very much
+Sarveshwar Inani if after the breush pagan test the best choice is random effect itself. do I need to conduct any other test?
Sir, God bless you! Thanks a lot!
Thanks 👌🏿🙏🏿
What is that screaming in the background
I thouht I have been visited by a feline buddy...
Thx man you did well job that's really useful video
What is the cut off point for rejecting the null?
5%
Thank you, very good video!
Muchas gracias Hermano!
Hi sir I have some questions
first,thanks your video,its really helpful for me :D but my Stata cannot recognize command estimate.
So,I stuck at the step "estimate store fe".And then i found i need to change to "estimates" lol
thank you sir
Thank you so much
You are welcome!
I have a problem... hausman test chi square =0.000
thanks its really helpful
Thank you!
Can you make videos on how to estimate Poisson Pseudo Maximum Likelihood (PPML)?
helpful. Thanks
STATA starts in minutes 2.02
good job friend.
Thanks Devid...:)
Thanks
Thank You !!
You are welcome!
I need ur help
thank you so much :)
You are welcome :)
@@SarveshwarInani plz help me
Omg....pls take care of the crying bb
Sir please check your mail. Its been so much time but no reply from your side. Waiting:)
Merci bien
+master bfi vous êtes les bienvenus (You are welcome)
thank you for sharing this video, dear how can interpret Hausman test result to compare between FE and FE-IV model
. hausman iv
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| iv . Difference S.E.
-------------+----------------------------------------------------------------
IHS_fdx | -10.2609 -3.488869 -6.772031 1.233345
IHS_gov | -3.616735 -3.877065 .2603298 .2091792
IHS_gfcf | 3.277582 2.25975 1.017832 .1942741
IHS_trd | 1.358966 .7292542 .6297113 .1364145
IHS_gnci | .6256677 .3832061 .2424616 .0834463
IHS_lbor | -5.572129 -4.614434 -.9576948 .5514027
dum_fdx | 3.960901 -.3721835 4.333084 1.10512
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtivreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 42.89
Prob>chi2 = 0.0000
THANK YOU
Halo sir I wanna talk to u
What should I choose if I have:
‘chi-Squared: ‘0.6256969851404174
‘degrees of freedom: ‘5
‘p-Value: ‘0.9867964855590899
Thanks
U r welcome