请教 HAUSMANS TEST 急!!!!

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请大家帮忙看看这个结果应该是用FE 还是RE

Note: the rank of the differenced variance matrix (0) does not equal the number of coefficients being tested (6); 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.

---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
ln_size | .066395 .066395 0 0
gr | -.0458731 -.0458731 0 0
warr | .087804 .087804 0 0
dcost | -.0079675 -.0079675 0 0
gop | -.0012635 -.0012635 0 0
ln_repinc| .168674 .168674 0 0
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic

chi2(0) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 0.00
Prob>chi2 = .
(V_b-V_B is not positive definite)

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关键词：hausmans hausman ausman test ans 请教 test hausmans

1. Scaling your variables so that the coefficients are on a similar scale. The coefficient on dcost or gop seems too small.

Possible solution: you may want to scale those variables by dividing dcost or gop by 100 or 1000

2. Second problem is V_b- V_B is not positive definite: Hausman statistic may not have resulted in the best possible value (in this case, the function it was minimizing may not have a global minimum) and thus you may not be able to trust the results.

Possible solution: dropping one variable which causes the problem or adding one. The problem then is you might not know which one you want to drop.

[此贴子已经被作者于2007-8-21 13:37:13编辑过]