[求助]Hausman Test

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i want to know how i can conduct a Hausman Test with Eviews concretely. I can read chinese, but can't write it. Thanks!

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关键词：hausman ausman test Aus SMA 求助 test hausman

在eviews5.1中，先做固定效应，再做随机效应，然后进行hausman test.这个过程既可以通过下拉菜单点击完成，有可通过命令输入完成。

另外，用stata也很方便！

谢拉!今天在家,终于可以用中文了!再请问下,Hausman检验出来怎样判定呢?谢谢!

我的结果是:

Redundant Fixed Effects Tests
Pool: AA
Test cross-section fixed effects
Effects Test		Statistic	d.f.	Prob.
Cross-section F		15.470864	(306,1836)	0.0000

Cross-section fixed effects test equation:
Dependent Variable: ROA?
Method: Panel EGLS (Cross-section weights)
Date: 04/28/07 Time: 19:56
Sample: 1999 2005
Included observations: 7
Cross-sections included: 307
Total pool (balanced) observations: 2149
Use pre-specified GLS weights
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.068396	0.006325	10.81384	0.0000
SSP?	-0.037504	0.014492	-2.587954	0.0097
SSP2?	0.055023	0.015418	3.568668	0.0004
BW?	-0.003470	0.001070	-3.244181	0.0012
UMS?	0.000991	0.000803	1.234656	0.2171
W?	0.000487	0.000266	1.827696	0.0677
VG?	-0.006620	0.000461	-14.37483	0.0000

Correlated Random Effects - Hausman Test
Pool: AA
Test cross-section random effects
Test Summary		Chi-Sq. Statistic	Chi-Sq. d.f.	Prob.
Cross-section random		76.696408	6	0.0000
Cross-section random effects test comparisons:
Variable	Fixed	Random	Var(Diff.)	Prob.
SSP?	-0.103757	-0.094212	0.001973	0.8299
SSP2?	0.167572	0.143146	0.002959	0.6534
BW?	-0.043271	-0.015296	0.000015	0.0000
UMS?	0.022703	0.016645	0.000006	0.0105
W?	0.000088	0.000149	0.000000	0.1722
VG?	-0.000561	-0.001044	0.000000	0.0000
Cross-section random effects test equation:
Dependent Variable: ROA?
Method: Panel Least Squares
Date: 04/28/07 Time: 19:57
Sample: 1999 2005
Included observations: 7
Cross-sections included: 307
Total pool (balanced) observations: 2149
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.198540	0.029071	6.829446	0.0000
SSP?	-0.103757	0.060972	-1.701705	0.0890
SSP2?	0.167572	0.070587	2.373977	0.0177
BW?	-0.043271	0.004977	-8.695024	0.0000
UMS?	0.022703	0.003212	7.068805	0.0000
W?	8.75E-05	0.000154	0.568135	0.5700
VG?	-0.000561	0.000255	-2.197704	0.0281
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.348088	Mean dependent var		0.025812
Adjusted R-squared	0.237305	S.D. dependent var		0.065441
S.E. of regression	0.057151	Akaike info criterion		-2.752343
Sum squared resid	5.996879	Schwarz criterion		-1.926111
Log likelihood	3270.393	F-statistic		3.142082
Durbin-Watson stat	1.905307	Prob(F-statistic)		0.000000

同问~~~期待高人解答~~

以前我都是自己写程序作出来的，你的结果估计是5.1版本的结果，看看help就知道如何判定了。

Thank you for your suggestion! but I'm really not so familiar with Hausman Test, have read the user guide, but can still not understand it. Can you help me to assess my example? And tell me why? Thank you!

[此贴子已经被作者于2007-4-30 16:14:08编辑过]

看看Greene（5th）关于Hausman检验的hypothesis就知道怎么判断了。

Hausman检验显著用FEM，不显著时用REM。

这个用固定效应模型，RE不适用

还是用stata，看help，输入hausman就可以了