出现Hausman statistic set to zero.别再疑惑了

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‘Correlated Random Effects - Hausman Test   
Pool: CHINA   
Test cross-section random effects   
   
Test Summary  Chi-Sq. Statistic Chi-Sq. d.f. Prob.
   
Cross-section random  0.000000 1 1.0000
   
* Cross-section test variance is invalid. Hausman statistic set to zero.   


我最近遇到这个问题，版上查了下，许多人都出现过，没有人给出合理的解释，今天终于在http://forums.eviews.com/viewtopic.php?f=4&p=6573
找到了较官方的解释，大家共勉吧，我理解应该是出现这个说明EVIEWS计算结果认为RE无效，所以选用FE吧，原文如下：
Any textbook that describes the Hausman test should help you out with the assumptions. The computation of the variance in the Hausman statistic requires that the random effects estimator be fully efficient under the null hypothesis. Specification of robust standard errors suggests, but does not impose, that you believe that the random effects estimator is not fully efficient. Hence the warning.

The reason you probably won't find any textbooks that describe this particular issue is that textbooks focus on the application of the Hausman statistic in the simplest setting...straightforward RE and FE using the conventional estimators of the coefficient covariances. It's only when you start generalizing that issues of this sort come up. I should point out that EViews will not always warn you in cases like this, it's really up to the user to understand what they are doing, but where we can, we try to help out.
我感受是大家用EVIEWS最好还是清楚检验的东西本来具体是怎么做得，才不会这么折腾。

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关键词：statistic Statist hausman Statis ausman hausman Set zero statistic

楼主的帖子真是救我等于水深火热之中

寻寻觅觅好久

http://forums.eviews.com/viewtop ... 0&sk=t&sd=a
Re: Warnings & Interpretation Hausman Test
by EViews Gareth on Fri Apr 02, 2010 8:08 am

Essentially what this is saying is that the estimate of the cross-section effects indicates that there are, in fact, no cross-section effects (i.e. they have no variance). This means that testing for the difference between random effects and fixed effects may not be a valid thing to do (if you're best guess is that there are no effects, how can you test what sort of effects they are?).

There isn't really a "fix" for this, nor should you really think of it as a problem.

http://forums.eviews.com/viewtop ... c+set+to+zero#p9003

1# cclqzqy


楼主这个帖子不对，是望文生义。如果是husman检验无效，EVIEWS会直接报告P值<0.1，但报告的结果P值>0.1，报警只是可能是无效，而不是无效。只要没有拒绝，在没有其他更好办法的情况下，应该可以接受原假设。
如果P值<0.1拒绝了， 才采用固定效应。

如果这个时候豪斯曼检验无效，那下面怎么办，用固定效应模型还是随机效应模型？

楚留香 发表于 2010-12-1 16:08
1# cclqzqy

那这种情况应该用随机是么？

顿悟

xiaoyu_8687 发表于 2010-12-22 10:51
如果这个时候豪斯曼检验无效，那下面怎么办，用固定效应模型还是随机效应模型？

不可能无效的，在回归时重新调整一下option里面的协方差设置就可以了。