Oo笑容太甜oO/

hausman检验


hausman test

The hausman test tests the null hypothesis that the coefficients estimated by the efficient random effects estimator are the same as the ones estimated by the consistent fixed effects estimator. If they are insignificant (P-value, Probchi2 larger than .05) then it is safe to use random effects. If you get a significant Pvalue, however, you should use fixed effects.

  1. xtreg dependentvar independentvar1 independentvar2... , fe
    2. estimates store fixed
    3. xtreg dependentvar independentvar1 independentvar2... , re
    4. estimates store random
    5. hausman fixed random

看P值0.05 是不能在0.05的置信水平下(一般实证研究都要求0.05)拒绝原假设
原假设是模型为随机效应模型
即不能拒绝随机效应
可以使用随机效应模型估计,也就是用随机效应GLS估计,在随机效应模型下它是最优的