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Hausman检验结果为负?—基于模拟分析的释疑

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Hausman检验结果为负?—基于模拟分析的释疑

关键词:hausman检验 stata hausman检验 hausman检验结果 hausman检验结果分析

通过模拟分析发现,这主要是RE模型的基本假设Corr(x_it, u_i) =0 无法得到满足。因此,在这种情况下应该采用FE。

模拟过程如下:

    *- 生成模拟数据:corr(x_it,u_i) != 0
clear
xtarsim y x eta, n(200) t(10) gamma(0) beta(.8) rho(0.2) one(corr 1) sn(9)
describe
xtdes

*- 分别估计 FE 和 RE 模型
xtreg y x, re
est store re
xtreg y x, fe
est store fe

local mm “ols re fe”
esttab `mm’, mtitle(`mm’) scalar(r2 r2_o r2_w r2_a)

*- Hausman检验结果如何?
hausman fe re

    *- 处理方法
hausman fe re, sigmamore  /*使用RE的方差-协方差矩阵 e(V_re)*/
hausman fe re, sigmaless    /*使用FE的方差-协方差矩阵 e(V_fe)*/

* 结论:若传统Hausman检验得到的卡方值为负,则应拒绝RE,而采用FE。


在上面的gamma(0) beta(.8)   rho(0.2) one(corr 1) sn(9) 设置下,

sigmamore and sigmaless的选项结果还是比较可靠的。

Hausman Test for id=10 and t=5, Chi2 and p are:
original: -15.25902094
sigmamore:  29.52903691(   0.0000)
sigmaless:  75.13764863(   0.0000)

Hausman Test for id=10 and t=15, Chi2 and p are:
original: -6.669215421
sigmamore:  32.64395338(   0.0000)
sigmaless:  41.27695511(   0.0000)

Hausman Test for id=10 and t=25, Chi2 and p are:
original: -21.28631642
sigmamore:  120.9291817(   0.0000)
sigmaless:  234.3414119(   0.0000)

Hausman Test for id=10 and t=35, Chi2 and p are:
original: -8.701909484
sigmamore:  76.33851265(   0.0000)
sigmaless:  97.50908805(   0.0000)

Hausman Test for id=10 and t=45, Chi2 and p are:
original: -10.68627248
sigmamore:  100.0573548(   0.0000)
sigmaless:  128.5431327(   0.0000)

Hausman Test for id=10 and t=55, Chi2 and p are:
original: -15.13057341
sigmamore:   153.630277(   0.0000)
sigmaless:  213.0887759(   0.0000)

Hausman Test for id=110 and t=5, Chi2 and p are:
original: -204.1108341
sigmamore:  396.6423161(   0.0000)
sigmaless:  1433.447853(   0.0000)

Hausman Test for id=110 and t=15, Chi2 and p are:
original: -159.7802374
sigmamore:  867.0220412(   0.0000)
sigmaless:  1828.457879(   0.0000)

Hausman Test for id=110 and t=25, Chi2 and p are:
original: -173.3881576
sigmamore:  1141.329628(   0.0000)
sigmaless:  1939.484031(   0.0000)

Hausman Test for id=110 and t=35, Chi2 and p are:
original: -185.7313451
sigmamore:  1343.709893(   0.0000)
sigmaless:  2053.902414(   0.0000)

Hausman Test for id=110 and t=45, Chi2 and p are:
original: -124.0043726
sigmamore:  1255.145288(   0.0000)
sigmaless:  1681.410243(   0.0000)

Hausman Test for id=110 and t=55, Chi2 and p are:
original: -167.3728299
sigmamore:  1539.464503(   0.0000)
sigmaless:  2054.953033(   0.0000)

Hausman Test for id=210 and t=5, Chi2 and p are:
original: -396.3897801
sigmamore:  752.1097461(   0.0000)
sigmaless:  2607.252553(   0.0000)

Hausman Test for id=210 and t=15, Chi2 and p are:
original: -265.0905343
sigmamore:  1541.541312(   0.0000)
sigmaless:  3019.828984(   0.0000)

Hausman Test for id=210 and t=25, Chi2 and p are:
original: -349.6171619
sigmamore:  2214.708469(   0.0000)
sigmaless:  3831.011697(   0.0000)

Hausman Test for id=210 and t=35, Chi2 and p are:
original: -302.5426819
sigmamore:  2459.981765(   0.0000)
sigmaless:  3697.507898(   0.0000)

Hausman Test for id=210 and t=45, Chi2 and p are:
original: -320.0124319
sigmamore:  2945.197927(   0.0000)
sigmaless:  4275.431054(   0.0000)

Hausman Test for id=210 and t=55, Chi2 and p are:
original: -288.6578172
sigmamore:  2792.530306(   0.0000)
sigmaless:  3671.704793(   0.0000)

Hausman Test for id=310 and t=5, Chi2 and p are:
original: -626.7198051
sigmamore:  1125.110929(   0.0000)
sigmaless:  4115.846741(   0.0000)

Hausman Test for id=310 and t=15, Chi2 and p are:
original:  -542.918111
sigmamore:  2582.553113(   0.0000)
sigmaless:  5765.861605(   0.0000)

Hausman Test for id=310 and t=25, Chi2 and p are:
original: -482.6356457
sigmamore:  3241.396979(   0.0000)
sigmaless:  5534.407436(   0.0000)

Hausman Test for id=310 and t=35, Chi2 and p are:
original: -476.5210627
sigmamore:  3727.976324(   0.0000)
sigmaless:  5679.385494(   0.0000)

Hausman Test for id=310 and t=45, Chi2 and p are:
original:  -489.623454
sigmamore:  4005.721152(   0.0000)
sigmaless:  5596.819492(   0.0000)

Hausman Test for id=310 and t=55, Chi2 and p are:
original: -487.8065058
sigmamore:  4439.652973(   0.0000)
sigmaless:  6002.592097(   0.0000)

Hausman Test for id=410 and t=5, Chi2 and p are:
original: -782.9054589
sigmamore:   1437.64982(   0.0000)
sigmaless:  4774.305137(   0.0000)

Hausman Test for id=410 and t=15, Chi2 and p are:
original: -634.7051804
sigmamore:  3242.604058(   0.0000)
sigmaless:  6860.437457(   0.0000)

Hausman Test for id=410 and t=25, Chi2 and p are:
original: -593.6497115
sigmamore:  4117.028858(   0.0000)
sigmaless:   6880.99711(   0.0000)

Hausman Test for id=410 and t=35, Chi2 and p are:
original: -606.9333066
sigmamore:  4704.018299(   0.0000)
sigmaless:  6997.996537(   0.0000)

Hausman Test for id=410 and t=45, Chi2 and p are:
original: -638.2010935
sigmamore:  5322.375965(   0.0000)
sigmaless:  7469.158631(   0.0000)

Hausman Test for id=410 and t=55, Chi2 and p are:
original:  -628.209798
sigmamore:  5975.773017(   0.0000)
sigmaless:  8125.424338(   0.0000)

Hausman Test for id=510 and t=5, Chi2 and p are:
original: -965.6945473
sigmamore:  1911.737724(   0.0000)
sigmaless:  7652.812628(   0.0000)

Hausman Test for id=510 and t=15, Chi2 and p are:
original: -868.9804265
sigmamore:  4125.969192(   0.0000)
sigmaless:  8948.154518(   0.0000)

Hausman Test for id=510 and t=25, Chi2 and p are:
original: -780.8251597
sigmamore:  5164.891449(   0.0000)
sigmaless:  8682.042576(   0.0000)

Hausman Test for id=510 and t=35, Chi2 and p are:
original: -848.6899724
sigmamore:   6377.53786(   0.0000)
sigmaless:  9907.848252(   0.0000)

Hausman Test for id=510 and t=45, Chi2 and p are:
original: -659.8771127
sigmamore:   5937.10347(   0.0000)
sigmaless:  8008.908472(   0.0000)

Hausman Test for id=510 and t=55, Chi2 and p are:
original: -860.6914346
sigmamore:  7899.906974(   0.0000)
sigmaless:  10997.00555(   0.0000)

Hausman Test for id=610 and t=5, Chi2 and p are:
original: -1249.826331
sigmamore:  2213.849365(   0.0000)
sigmaless:  8054.435848(   0.0000)

Hausman Test for id=610 and t=15, Chi2 and p are:
original: -1193.896281
sigmamore:  5119.036563(   0.0000)
sigmaless:  11577.44937(   0.0000)

Hausman Test for id=610 and t=25, Chi2 and p are:
original: -1014.905754
sigmamore:  6750.323275(   0.0000)
sigmaless:  12111.80212(   0.0000)

Hausman Test for id=610 and t=35, Chi2 and p are:
original: -918.0642674
sigmamore:  7319.428189(   0.0000)
sigmaless:  11137.82897(   0.0000)

Hausman Test for id=610 and t=45, Chi2 and p are:
original: -910.4312819
sigmamore:  8052.200968(   0.0000)
sigmaless:  11394.67158(   0.0000)

Hausman Test for id=610 and t=55, Chi2 and p are:
original: -919.8696786
sigmamore:   8424.72207(   0.0000)
sigmaless:  11248.24061(   0.0000)

Hausman Test for id=710 and t=5, Chi2 and p are:
original: -1499.938973
sigmamore:  2609.465674(   0.0000)
sigmaless:  9861.945899(   0.0000)

Hausman Test for id=710 and t=15, Chi2 and p are:
original: -1313.928206
sigmamore:  5950.808688(   0.0000)
sigmaless:  13451.58269(   0.0000)

Hausman Test for id=710 and t=25, Chi2 and p are:
original: -1279.030836
sigmamore:  7904.988999(   0.0000)
sigmaless:  14230.65714(   0.0000)

Hausman Test for id=710 and t=35, Chi2 and p are:
original: -1213.384352
sigmamore:  9075.103013(   0.0000)
sigmaless:   14295.9841(   0.0000)

Hausman Test for id=710 and t=45, Chi2 and p are:
original: -1377.630383
sigmamore:  10965.33147(   0.0000)
sigmaless:  16688.78913(   0.0000)

Hausman Test for id=710 and t=55, Chi2 and p are:
original: -1231.143884
sigmamore:  10605.48222(   0.0000)
sigmaless:  14559.62048(   0.0000)

Hausman Test for id=810 and t=5, Chi2 and p are:
original: -1804.267056
sigmamore:  2956.589519(   0.0000)
sigmaless:  10963.16921(   0.0000)

Hausman Test for id=810 and t=15, Chi2 and p are:
original: -1522.879524
sigmamore:  6802.834523(   0.0000)
sigmaless:  15442.15403(   0.0000)

Hausman Test for id=810 and t=25, Chi2 and p are:
original: -1427.322598
sigmamore:  9094.205519(   0.0000)
sigmaless:  16508.31737(   0.0000)

Hausman Test for id=810 and t=35, Chi2 and p are:
original: -1156.418494
sigmamore:  9165.284239(   0.0000)
sigmaless:  13543.87541(   0.0000)

Hausman Test for id=810 and t=45, Chi2 and p are:
original: -1142.840707
sigmamore:  10213.34622(   0.0000)
sigmaless:  14189.08871(   0.0000)

Hausman Test for id=810 and t=55, Chi2 and p are:
original:  -1314.14029
sigmamore:  11984.91949(   0.0000)
sigmaless:  16382.35826(   0.0000)

Hausman Test for id=910 and t=5, Chi2 and p are:
original: -2078.144214
sigmamore:  3400.419109(   0.0000)
sigmaless:  13416.44248(   0.0000)

Hausman Test for id=910 and t=15, Chi2 and p are:
original: -1725.028038
sigmamore:  7661.137679(   0.0000)
sigmaless:  17375.32729(   0.0000)

Hausman Test for id=910 and t=25, Chi2 and p are:
original:  -1483.59852
sigmamore:  9843.957342(   0.0000)
sigmaless:  17352.74004(   0.0000)

Hausman Test for id=910 and t=35, Chi2 and p are:
original: -1575.145363
sigmamore:  11823.06675(   0.0000)
sigmaless:  18795.23423(   0.0000)

Hausman Test for id=910 and t=45, Chi2 and p are:
original: -1556.335216
sigmamore:  12806.00071(   0.0000)
sigmaless:  18632.90898(   0.0000)

Hausman Test for id=910 and t=55, Chi2 and p are:
original: -1337.162352
sigmamore:  12460.67542(   0.0000)
sigmaless:  16591.21605(   0.0000)

Hausman Test for id=1010 and t=5, Chi2 and p are:
original: -2126.534423
sigmamore:  3673.687233(   0.0000)
sigmaless:  13491.17894(   0.0000)

Hausman Test for id=1010 and t=15, Chi2 and p are:
original: -1672.283822
sigmamore:  8170.452034(   0.0000)
sigmaless:  17736.57989(   0.0000)

Hausman Test for id=1010 and t=25, Chi2 and p are:
original:  -1544.55727
sigmamore:  10333.59947(   0.0000)
sigmaless:  17492.64983(   0.0000)

Hausman Test for id=1010 and t=35, Chi2 and p are:
original: -1707.334487
sigmamore:  12925.70568(   0.0000)
sigmaless:  20376.36792(   0.0000)

Hausman Test for id=1010 and t=45, Chi2 and p are:
original: -1881.227915
sigmamore:  15066.81365(   0.0000)
sigmaless:   22514.1472(   0.0000)

Hausman Test for id=1010 and t=55, Chi2 and p are:
original:  -1737.59133
sigmamore:  15412.96946(   0.0000)
sigmaless:  21310.94746(   0.0000)

Hausman Test for id=1110 and t=5, Chi2 and p are:
original: -2650.805974
sigmamore:  4098.859825(   0.0000)
sigmaless:   15514.3733(   0.0000)

Hausman Test for id=1110 and t=15, Chi2 and p are:
original: -1934.849956
sigmamore:  9115.629251(   0.0000)
sigmaless:  20129.07967(   0.0000)

Hausman Test for id=1110 and t=25, Chi2 and p are:
original: -1840.216213
sigmamore:  12085.30905(   0.0000)
sigmaless:  21350.25258(   0.0000)

Hausman Test for id=1110 and t=35, Chi2 and p are:
original: -1894.107246
sigmamore:   14258.1422(   0.0000)
sigmaless:  22518.92594(   0.0000)

Hausman Test for id=1110 and t=45, Chi2 and p are:
original: -1839.092334
sigmamore:  15441.27082(   0.0000)
sigmaless:  22350.57254(   0.0000)

Hausman Test for id=1110 and t=55, Chi2 and p are:
original: -1747.405891
sigmamore:  15962.47934(   0.0000)
sigmaless:  21607.20749(   0.0000)

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