------------------------------------------------------------------------------- log: d:\Panel_Msc\baltagi_wages.log log type: text opened on: 22 May 2006, 13:00:28 . set more off . . clear . use d:\Panel_Msc\baltagi-wages.dta . . su * Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- exp | 4165 19.85378 10.96637 1 51 wks | 4165 46.81152 5.129098 5 52 occ | 4165 .5111645 .4999354 0 1 ind | 4165 .3954382 .4890033 0 1 south | 4165 .2902761 .4539442 0 1 -------------+-------------------------------------------------------- smsa | 4165 .6537815 .475821 0 1 ms | 4165 .8144058 .3888256 0 1 fem | 4165 .112605 .3161473 0 1 union | 4165 .3639856 .4812023 0 1 ed | 4165 12.84538 2.787995 4 17 -------------+-------------------------------------------------------- blk | 4165 .0722689 .2589637 0 1 lwage | 4165 6.676346 .4615122 4.60517 8.537 . . *does not seem to have an indiv nor a time identifier. . *so create one. . . gen indiv=int([_n/7.000001]+1) . bys indiv: gen year=[_n] . . iis indiv . tis year . tsset indiv year panel variable: indiv, 1 to 595 time variable: year, 1 to 7 . . xtsum * Variable | Mean Std. Dev. Min Max | Observations -----------------+--------------------------------------------+---------------- exp overall | 19.85378 10.96637 1 51 | N = 4165 between | 10.79018 4 48 | n = 595 within | 2.00024 16.85378 22.85378 | T = 7 | | wks overall | 46.81152 5.129098 5 52 | N = 4165 between | 3.284016 31.57143 51.57143 | n = 595 within | 3.941881 12.2401 63.66867 | T = 7 | | occ overall | .5111645 .4999354 0 1 | N = 4165 between | .469327 0 1 | n = 595 within | .1731615 -.3459784 1.368307 | T = 7 | | ind overall | .3954382 .4890033 0 1 | N = 4165 between | .4648725 0 1 | n = 595 within | .152739 -.4617047 1.252581 | T = 7 | | south overall | .2902761 .4539442 0 1 | N = 4165 between | .4489462 0 1 | n = 595 within | .0693042 -.5668667 1.147419 | T = 7 | | smsa overall | .6537815 .475821 0 1 | N = 4165 between | .4601658 0 1 | n = 595 within | .1223035 -.2033613 1.510924 | T = 7 | | ms overall | .8144058 .3888256 0 1 | N = 4165 between | .3686109 0 1 | n = 595 within | .1245274 -.0427371 1.671549 | T = 7 | | fem overall | .112605 .3161473 0 1 | N = 4165 between | .3163754 0 1 | n = 595 within | 0 .112605 .112605 | T = 7 | | union overall | .3639856 .4812023 0 1 | N = 4165 between | .4543848 0 1 | n = 595 within | .1593351 -.4931573 1.221128 | T = 7 | | ed overall | 12.84538 2.787995 4 17 | N = 4165 between | 2.790006 4 17 | n = 595 within | 0 12.84538 12.84538 | T = 7 | | blk overall | .0722689 .2589637 0 1 | N = 4165 between | .2591505 0 1 | n = 595 within | 0 .0722689 .0722689 | T = 7 | | lwage overall | 6.676346 .4615122 4.60517 8.537 | N = 4165 between | .3942387 5.3364 7.813596 | n = 595 within | .2404023 4.781808 8.621092 | T = 7 | | indiv overall | 298 171.7821 1 595 | N = 4165 between | 171.906 1 595 | n = 595 within | 0 298 298 | T = 7 | | year overall | 4 2.00024 1 7 | N = 4165 between | 0 4 4 | n = 595 within | 2.00024 1 7 | T = 7 . xtdes, i(indiv) t(year) indiv: 1, 2, ..., 595 n = 595 year: 1, 2, ..., 7 T = 7 Delta(year) = 1; (7-1)+1 = 7 (indiv*year uniquely identifies each observation) Distribution of T_i: min 5% 25% 50% 75% 95% max 7 7 7 7 7 7 7 Freq. Percent Cum. | Pattern ---------------------------+--------- 595 100.00 100.00 | 1111111 ---------------------------+--------- 595 100.00 | XXXXXXX . . gen exp2=exp*exp/1000 . . *WITHIN GROUP AND GLS . *==================== . xtreg lwage wks south smsa ms exp exp2 occ ind union fem blk ed, fe Fixed-effects (within) regression Number of obs = 4165 Group variable (i): indiv Number of groups = 595 R-sq: within = 0.6581 Obs per group: min = 7 between = 0.0261 avg = 7.0 overall = 0.0461 max = 7 F(9,3561) = 761.75 corr(u_i, Xb) = -0.9100 Prob > F = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- wks | .0008359 .0005997 1.39 0.163 -.0003398 .0020117 south | -.0018612 .0342993 -0.05 0.957 -.0691094 .065387 smsa | -.0424691 .0194284 -2.19 0.029 -.080561 -.0043773 ms | -.0297259 .0189836 -1.57 0.117 -.0669456 .0074939 exp | .1132083 .002471 45.81 0.000 .1083635 .1180531 exp2 | -.4183512 .0545945 -7.66 0.000 -.5253908 -.3113115 occ | -.0214765 .0137837 -1.56 0.119 -.0485012 .0055482 ind | .0192101 .0154463 1.24 0.214 -.0110744 .0494946 union | .0327849 .0149229 2.20 0.028 .0035266 .0620431 fem | (dropped) blk | (dropped) ed | (dropped) _cons | 4.648767 .046022 101.01 0.000 4.558535 4.738999 -------------+---------------------------------------------------------------- sigma_u | 1.0338102 sigma_e | .15199444 rho | .97884144 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(594, 3561) = 30.93 Prob > F = 0.0000 . *note in the above the prog automatically drops fem blk and ed since they . *are time invariant . . estimates store fe1 . outreg using baltagi_wages, replace nolabel nonotes /* > */ noaster ctitle(Within_group) se bracket . . xtreg lwage wks south smsa ms exp exp2 occ ind union fem blk ed, fe robust Fixed-effects (within) regression Number of obs = 4165 Group variable (i): indiv Number of groups = 595 R-sq: within = 0.6581 Obs per group: min = 7 between = 0.0261 avg = 7.0 overall = 0.0461 max = 7 F(9,3561) = 729.07 corr(u_i, Xb) = -0.9100 Prob > F = 0.0000 ------------------------------------------------------------------------------ | Robust lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- wks | .0008359 .000813 1.03 0.304 -.0007581 .0024299 south | -.0018612 .062746 -0.03 0.976 -.1248829 .1211605 smsa | -.0424691 .0259676 -1.64 0.102 -.0933821 .0084438 ms | -.0297259 .0177429 -1.68 0.094 -.0645132 .0050615 exp | .1132083 .0028123 40.25 0.000 .1076944 .1187221 exp2 | -.4183512 .0584308 -7.16 0.000 -.5329123 -.30379 occ | -.0214765 .013888 -1.55 0.122 -.0487057 .0057527 ind | .0192101 .0172032 1.12 0.264 -.014519 .0529392 union | .0327849 .0171196 1.92 0.056 -.0007804 .0663501 fem | (dropped) blk | (dropped) ed | (dropped) _cons | 4.648767 .0619025 75.10 0.000 4.527399 4.770135 -------------+---------------------------------------------------------------- sigma_u | 1.0338102 sigma_e | .15199444 rho | .97884144 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(Within_group_robust) se bracket . . . xtreg lwage wks south smsa ms exp exp2 occ ind union fem blk ed, re theta Random-effects GLS regression Number of obs = 4165 Group variable (i): indiv Number of groups = 595 R-sq: within = 0.6124 Obs per group: min = 7 between = 0.2539 avg = 7.0 overall = 0.2512 max = 7 Random effects u_i ~ Gaussian Wald chi2(12) = 2654.74 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 theta = .78633141 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- wks | .0010347 .0007734 1.34 0.181 -.0004811 .0025505 south | -.0166176 .0265265 -0.63 0.531 -.0686086 .0353734 smsa | -.0138231 .0199927 -0.69 0.489 -.0530081 .0253619 ms | -.0746283 .0230052 -3.24 0.001 -.1197178 -.0295389 exp | .0820544 .0028478 28.81 0.000 .0764729 .0876359 exp2 | -.8084464 .0628233 -12.87 0.000 -.9315777 -.685315 occ | -.0500664 .0166469 -3.01 0.003 -.0826937 -.017439 ind | .0037441 .0172618 0.22 0.828 -.0300883 .0375766 union | .0632232 .01707 3.70 0.000 .0297666 .0966798 fem | -.3392101 .0513033 -6.61 0.000 -.4397628 -.2386575 blk | -.2102803 .0579888 -3.63 0.000 -.3239363 -.0966243 ed | .0996585 .0057475 17.34 0.000 .0883937 .1109234 _cons | 4.26367 .0977162 43.63 0.000 4.07215 4.45519 -------------+---------------------------------------------------------------- sigma_u | .26265814 sigma_e | .15199444 rho | .74913774 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . estimates store re1 . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(GLS1) se bracket . . xtreg lwage wks south smsa ms exp exp2 occ ind union fem blk ed, re theta rob > ust Random-effects GLS regression Number of obs = 4165 Group variable (i): indiv Number of groups = 595 R-sq: within = 0.6124 Obs per group: min = 7 between = 0.2539 avg = 7.0 overall = 0.2512 max = 7 Random effects u_i ~ Gaussian Wald chi2(13) = 239440.89 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 theta = .78633141 ------------------------------------------------------------------------------ | Robust lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- wks | .0010347 .0009421 1.10 0.272 -.0008117 .0028811 south | -.0166176 .0319423 -0.52 0.603 -.0792233 .0459881 smsa | -.0138231 .0224648 -0.62 0.538 -.0578532 .0302071 ms | -.0746283 .0205374 -3.63 0.000 -.1148808 -.0343759 exp | .0820544 .0028296 29.00 0.000 .0765085 .0876003 exp2 | -.8084464 .0618516 -13.07 0.000 -.9296732 -.6872195 occ | -.0500664 .0158381 -3.16 0.002 -.0811084 -.0190243 ind | .0037441 .0178126 0.21 0.834 -.031168 .0386562 union | .0632232 .0175975 3.59 0.000 .0287327 .0977138 fem | -.3392101 .046401 -7.31 0.000 -.4301544 -.2482658 blk | -.2102803 .0535583 -3.93 0.000 -.3152527 -.1053078 ed | .0996585 .0059009 16.89 0.000 .0880929 .1112242 _cons | 4.26367 .1059043 40.26 0.000 4.056102 4.471239 -------------+---------------------------------------------------------------- sigma_u | .26265814 sigma_e | .15199444 rho | .74913774 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(GLS2) se bracket . . correlate fem blk occ south smsa ind ed (obs=4165) | fem blk occ south smsa ind ed -------------+--------------------------------------------------------------- fem | 1.0000 blk | 0.2086 1.0000 occ | -0.0847 0.0837 1.0000 south | 0.0516 0.1218 0.0413 1.0000 smsa | 0.1044 0.1154 -0.2018 -0.1350 1.0000 ind | -0.1778 -0.0475 0.2260 -0.0769 -0.0689 1.0000 ed | -0.0012 -0.1196 -0.6194 -0.1216 0.1843 -0.2365 1.0000 . . . *Hausman-Taylor method . *===================== . xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, /* > */ endog(exp exp2 wks ms union ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): indiv Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.4188645 .0545981 -7.67 0.000 -.5258747 -.3118543 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time varying; TI refers to time invariant. . estimates store ht1 . hausman fe1 ht1 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe1 ht1 Difference S.E. -------------+---------------------------------------------------------------- wks | .0008359 .0008374 -1.46e-06 . south | -.0018612 .0074398 -.009301 .0124627 smsa | -.0424691 -.0418334 -.0006358 .0042486 ms | -.0297259 -.0298508 .0001249 .0003699 exp | .1132083 .1131328 .0000755 .0000201 exp2 | -.4183512 -.4188645 .0005133 . occ | -.0214765 -.0207047 -.0007718 .0002742 ind | .0192101 .0136039 .0056062 .002532 union | .0327849 .0327714 .0000134 .0006561 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(9) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 5.26 Prob>chi2 = 0.8113 (V_b-V_B is not positive definite) . hausman re1 ht1 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | re1 ht1 Difference S.E. -------------+---------------------------------------------------------------- wks | .0010347 .0008374 .0001973 .0004883 south | -.0166176 .0074398 -.0240574 . smsa | -.0138231 -.0418334 .0280103 .0063481 ms | -.0746283 -.0298508 -.0447776 .0130001 exp | .0820544 .1131328 -.0310784 .0014157 exp2 | -.8084464 -.4188645 -.3895818 .0310776 occ | -.0500664 -.0207047 -.0293617 .0093383 ind | .0037441 .0136039 -.0098598 .0081112 union | .0632232 .0327714 .0304518 .008314 fem | -.3392101 -.1309236 -.2082865 . blk | -.2102803 -.2857479 .0754676 . ed | .0996585 .137944 -.0382854 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -5627.70 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(HT1) se bracket . . . xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, /* > */ endog(exp exp2 wks ms union ed) amacurdy t(year) Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): indiv Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.4213987 .0545545 -7.72 0.000 -.5283235 -.3144739 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time varying; TI refers to time invariant. . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(HT2) se bracket . . . *now we change the set of endog vars (marital status is exog now) . *=================================== . xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, /* > */ endog(exp exp2 wks union ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): indiv Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6888.80 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | south | .0069881 .0319453 0.22 0.827 -.0556236 .0695999 smsa | -.0415479 .0189524 -2.19 0.028 -.0786939 -.004402 ms | -.0362842 .018846 -1.93 0.054 -.0732216 .0006532 occ | -.0207236 .013777 -1.50 0.133 -.047726 .0062787 ind | .013735 .0152329 0.90 0.367 -.0161209 .0435909 TVendogenous | exp | .1129329 .0024693 45.74 0.000 .1080932 .1177726 exp2 | -.4186254 .0545822 -7.67 0.000 -.5256044 -.3116463 wks | .0008396 .0005996 1.40 0.161 -.0003355 .0020148 union | .0323955 .0149036 2.17 0.030 .0031851 .061606 TIexogenous | fem | -.1372638 .1266029 -1.08 0.278 -.3854009 .1108734 blk | -.2859031 .1556558 -1.84 0.066 -.590983 .0191767 TIendogenous | ed | .137866 .0212422 6.49 0.000 .096232 .1794999 | _cons | 2.923472 .2835446 10.31 0.000 2.367735 3.479209 -------------+---------------------------------------------------------------- sigma_u | .94179765 sigma_e | .15180273 rho | .9746776 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time varying; TI refers to time invariant. . estimates store ht2 . hausman fe1 ht2 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe1 ht2 Difference S.E. -------------+---------------------------------------------------------------- wks | .0008359 .0008396 -3.70e-06 .0000116 south | -.0018612 .0069881 -.0088493 .0124874 smsa | -.0424691 -.0415479 -.0009212 .0042742 ms | -.0297259 -.0362842 .0065583 .0022815 exp | .1132083 .1129329 .0002754 .0000929 exp2 | -.4183512 -.4186254 .0002742 .0011611 occ | -.0214765 -.0207236 -.0007528 .0004305 ind | .0192101 .013735 .0054751 .0025588 union | .0327849 .0323955 .0003893 .0007589 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(9) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 13.54 Prob>chi2 = 0.1396 . hausman re1 ht2 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | re1 ht2 Difference S.E. -------------+---------------------------------------------------------------- wks | .0010347 .0008396 .000195 .0004885 south | -.0166176 .0069881 -.0236057 . smsa | -.0138231 -.0415479 .0277249 .0063652 ms | -.0746283 -.0362842 -.0383441 .0131936 exp | .0820544 .1129329 -.0308785 .0014186 exp2 | -.8084464 -.4186254 -.389821 .0311055 occ | -.0500664 -.0207236 -.0293427 .0093442 ind | .0037441 .013735 -.0099909 .0081196 union | .0632232 .0323955 .0308277 .0083228 fem | -.3392101 -.1372638 -.2019463 . blk | -.2102803 -.2859031 .0756229 . ed | .0996585 .137866 -.0382074 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -5663.15 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test . hausman ht1 ht2 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | ht1 ht2 Difference S.E. -------------+---------------------------------------------------------------- south | .0074398 .0069881 .0004517 .0007858 smsa | -.0418334 -.0415479 -.0002854 .0004671 occ | -.0207047 -.0207236 .000019 .0003319 ind | .0136039 .013735 -.0001311 .0003697 exp | .1131328 .1129329 .0001999 .0000907 exp2 | -.4188645 -.4186254 -.0002392 .0013172 wks | .0008374 .0008396 -2.24e-06 .0000145 ms | -.0298508 -.0362842 .0064334 .0022513 union | .0327714 .0323955 .0003759 .0003814 fem | -.1309236 -.1372638 .0063401 .0037683 blk | -.2857479 -.2859031 .0001553 .003786 ed | .137944 .137866 .000078 .0005171 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xthtaylor B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 8.22 Prob>chi2 = 0.7674 . . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(HT3) se bracket . . . xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, /* > */ endog(wks union ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): indiv Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6580.65 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | south | .0152162 .0319474 0.48 0.634 -.0473996 .077832 smsa | -.0522719 .0188653 -2.77 0.006 -.0892472 -.0152966 ms | -.0372642 .0187341 -1.99 0.047 -.0739824 -.0005459 exp | .1091999 .0024269 45.00 0.000 .1044433 .1139565 exp2 | -.4843169 .0536018 -9.04 0.000 -.5893745 -.3792593 occ | -.0144394 .0136821 -1.06 0.291 -.0412558 .012377 ind | .0197167 .0151503 1.30 0.193 -.0099773 .0494108 TVendogenous | wks | .0008001 .0005956 1.34 0.179 -.0003672 .0019674 union | .0378139 .0148035 2.55 0.011 .0087997 .0668282 TIexogenous | fem | -.1790153 .1326358 -1.35 0.177 -.4389766 .080946 blk | -.1355613 .1630642 -0.83 0.406 -.4551613 .1840387 TIendogenous | ed | .2377905 .0216645 10.98 0.000 .195329 .2802521 | _cons | 1.741369 .2902277 6.00 0.000 1.172533 2.310205 -------------+---------------------------------------------------------------- sigma_u | .99459399 sigma_e | .15180273 rho | .97723506 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time varying; TI refers to time invariant. . estimates store ht3 . hausman fe1 ht3 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe1 ht3 Difference S.E. -------------+---------------------------------------------------------------- wks | .0008359 .0008001 .0000358 .0000701 south | -.0018612 .0152162 -.0170774 .0124821 smsa | -.0424691 -.0522719 .0098028 .0046435 ms | -.0297259 -.0372642 .0075383 .0030673 exp | .1132083 .1091999 .0040084 .0004651 exp2 | -.4183512 -.4843169 .0659657 .0103637 occ | -.0214765 -.0144394 -.0070371 .0016704 ind | .0192101 .0197167 -.0005066 .0030095 union | .0327849 .0378139 -.0050291 .0018839 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(9) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 350.82 Prob>chi2 = 0.0000 . hausman re1 ht3 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | re1 ht3 Difference S.E. -------------+---------------------------------------------------------------- wks | .0010347 .0008001 .0002346 .0004934 south | -.0166176 .0152162 -.0318338 . smsa | -.0138231 -.0522719 .0384489 .0066189 ms | -.0746283 -.0372642 -.0373642 .0133519 exp | .0820544 .1091999 -.0271455 .00149 exp2 | -.8084464 -.4843169 -.3241294 .032766 occ | -.0500664 -.0144394 -.0356269 .0094826 ind | .0037441 .0197167 -.0159726 .0082727 union | .0632232 .0378139 .0254093 .0084995 fem | -.3392101 -.1790153 -.1601948 . blk | -.2102803 -.1355613 -.074719 . ed | .0996585 .2377905 -.138132 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = -6400.60 chi2<0 ==> model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test . hausman ht1 ht3 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | ht1 ht3 Difference S.E. -------------+---------------------------------------------------------------- south | .0074398 .0152162 -.0077763 .0006959 smsa | -.0418334 -.0522719 .0104386 .0018739 occ | -.0207047 -.0144394 -.0062653 .0016478 ind | .0136039 .0197167 -.0061128 .0016266 exp | .1131328 .1091999 .0039329 .0004646 exp2 | -.4188645 -.4843169 .0654524 .0103824 wks | .0008374 .0008001 .0000373 .0000707 ms | -.0298508 -.0372642 .0074134 .0030449 union | .0327714 .0378139 -.0050425 .001766 fem | -.1309236 -.1790153 .0480917 . blk | -.2857479 -.1355613 -.1501866 . ed | .137944 .2377905 -.0998466 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xthtaylor B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 262.90 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) . hausman ht2 ht3 ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | ht2 ht3 Difference S.E. -------------+---------------------------------------------------------------- south | .0069881 .0152162 -.008228 . smsa | -.0415479 -.0522719 .010724 .0018148 ms | -.0362842 -.0372642 .00098 .00205 occ | -.0207236 -.0144394 -.0062842 .001614 ind | .013735 .0197167 -.0059817 .0015841 exp | .1129329 .1091999 .003733 .0004557 exp2 | -.4186254 -.4843169 .0656916 .0102985 wks | .0008396 .0008001 .0000395 .0000692 union | .0323955 .0378139 -.0054184 .0017243 fem | -.1372638 -.1790153 .0417516 . blk | -.2859031 -.1355613 -.1503419 . ed | .137866 .2377905 -.0999246 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xthtaylor B = inconsistent under Ha, efficient under Ho; obtained from xthtaylor Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 326.96 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) . outreg using baltagi_wages, append nolabel nonotes /* > */ noaster ctitle(HT4) se bracket . . . end of do-file . exit, clear