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R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18]

Melo Velandia Luis Fernando 
It seems that in STATA your are using a robust covariance-matrix
estimators meanwhile in R not. This might explain the difference in the
Hausman tests. I am not an expert in the PLM package, but there is a
function "vcovHC" which uses a robust covariance matrix estimator
(White). You might try this.

Sincerely,

Luis 
-----Mensaje original-----
De: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] En nombre de Steven
Archambault
Enviado el: Lunes, 18 de Mayo de 2009 01:27 p.m.
Para: Millo Giovanni
CC: r-sig-finance at stat.math.ethz.ch; Yves Croissant; Christian Kleiber
Asunto: Re: [R-SIG-Finance] R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue
18]

Giovani,

Thank you so much for your comments. I am a bit new to R, and to these
mailing lists, so I apologize for being sparse on the details and
examples.
I am using Stata 9.2, which might be the answer to my problem, as you
described. I have done quite a bit of internet searching, and did not
read anywhere about the use of a different method for calculating the
chi-sq value, so thanks for that.

 One more issue I have been thinking about. I am assuming your Plm
package knows that the FE is the consistient model, as the same results
arrive if the code is phtest(femod, remod) or phtest(remod, femod). The
order does matter in Stata.

For complteness I am going to post my results using the same Grumfeld
dataset for both stata 9.2 (by hand calculation and canned procedure)
and R.  I am using the Plm package version 1 1-2.

Regards,
Steve



 ## begin Stata9.2 output##
xtreg inv value capital, robust re;

Random-effects GLS regression                   Number of obs      =
200
Group variable (i): firmid                      Number of groups   =
10

R-sq:  within  = 0.7668                         Obs per group: min =
20
       between = 0.8196                                        avg =
20.0
       overall = 0.8061                                        max =
20

Random effects u_i ~ Gaussian                   Wald chi2(3)       =
77.70
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
0.0000

------------------------------------------------------------------------
------
             |               Robust
      invest |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
-------------+------
       value |   .1097811   .0197587     5.56   0.000     .0710547
.1485076
     capital |    .308113   .0418387     7.36   0.000     .2261107
.3901153
       _cons |  -57.83441   24.67795    -2.34   0.019    -106.2023
-9.466507
-------------+----------------------------------------------------------
-------------+------
     sigma_u |   84.20095
     sigma_e |  52.767964
         rho |  .71800838   (fraction of variance due to u_i)
------------------------------------------------------------------------
------

. matrix bfe=e(b);

. matrix vfe=e(V);

. estimates store remod;

. xtreg inv value capital, robust fe;

Fixed-effects (within) regression               Number of obs      =
200
Group variable (i): firmid                      Number of groups   =
10

R-sq:  within  = 0.7668                         Obs per group: min =
20
       between = 0.8194                                        avg =
20.0
       overall = 0.8060                                        max =
20

                                                F(2,188)           =
40.23
corr(u_i, Xb)  = -0.1517                        Prob > F           =
0.0000
------------------------------------------------------------------------
------
             |               Robust
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
-------------+------
       value |   .1101238    .019378     5.68   0.000     .0718975
.1483501
     capital |   .3100653    .042795     7.25   0.000     .2256452
.3944854
       _cons |  -58.74393   23.37422    -2.51   0.013    -104.8534
-12.63449
-------------+----------------------------------------------------------
-------------+------
     sigma_u |  85.732501
     sigma_e |  52.767964
         rho |  .72525012   (fraction of variance due to u_i)
------------------------------------------------------------------------
------

 ###Hausman by hand###

. estimates store femod;

. matrix vre=e(V);

. matrix bre=e(b);

. matrix bdif=bfe-bre;

. matrix list bdif;

bdif[1,3]
         value     capital       _cons
y1  -.00034265  -.00195236   .90952273

. matrix bdifp=bdif';

. matrix dv=vfe-vre;

. matrix dvi=inv(dv);

. matrix list bdif;

bdif[1,3]
         value     capital       _cons
y1  -.00034265  -.00195236   .90952273

. matrix list bdifp;

bdifp[3,1]
                 y1
  value  -.00034265
capital  -.00195236
  _cons   .90952273

. matrix list dvi;

symmetric dvi[3,3]
              value     capital       _cons
  value  -7739.3615
capital   5808.2905   -5305.811
  _cons   3.6641311   .98569198  -.00051157

. matrix chisq=bdif*dvi*bdifp;

. matrix list chisq;

symmetric chisq[1,1]
            y1
y1  -.01956929
###Hausman canned###
.  hausman femod remod;

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)
sqrt(diag(V_b-V_B))
             |     femod        remod        Difference          S.E.
-------------+----------------------------------------------------------
-------------+------
       value |    .1101238     .1097811        .0003427               .
     capital |    .3100653      .308113        .0019524        .0089965
------------------------------------------------------------------------
------
                           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(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =    -0.01    chi2<0 ==> model fitted on these
                                        data fails to meet the
asymptotic
                                        assumptions of the Hausman test;
                                        see suest for a generalized test
## end Stata9.2 output ##

##begin Output R, using PLM 1.1-2###
Oneway (individual) effect Within Model

Call:
plm(formula = fm, data = Grunfeld, model = "within")

Balanced Panel: n=10, T=20, N=200

Residuals :
    Min.  1st Qu.   Median  3rd Qu.     Max.
-184.000  -17.600    0.563   19.200  251.000

Coefficients :
        Estimate Std. Error t-value  Pr(>|t|)
value   0.110124   0.011857  9.2879 < 2.2e-16 ***
capital 0.310065   0.017355 17.8666 < 2.2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Total Sum of Squares:    2244400
Residual Sum of Squares: 523480
F-statistic: 309.014 on 2 and 188 DF, p-value: < 2.22e-16
Oneway (individual) effect Random Effect Model
   (Swamy-Arora's transformation)

Call:
plm(formula = fm, data = Grunfeld, model = "random")

Balanced Panel: n=10, T=20, N=200

Effects:
                   var  std.dev share
idiosyncratic 2784.458   52.768 0.282
individual    7089.800   84.201 0.718
theta:  0.86122

Residuals :
   Min. 1st Qu.  Median 3rd Qu.    Max.
-178.00  -19.70    4.69   19.50  253.00

Coefficients :
              Estimate Std. Error t-value Pr(>|t|)
(Intercept) -57.834415  28.898935 -2.0013  0.04536 *
value         0.109781   0.010493 10.4627  < 2e-16 ***
capital       0.308113   0.017180 17.9339  < 2e-16 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Total Sum of Squares:    2381400
Residual Sum of Squares: 548900
F-statistic: 328.837 on 2 and 197 DF, p-value: < 2.22e-16
Hausman Test

data:  fm
chisq = 2.3304, df = 2, p-value = 0.3119 alternative hypothesis: one
model is inconsistent

###end Plm###





On Mon, May 18, 2009 at 6:01 AM, Millo Giovanni
<Giovanni_Millo at generali.com
=
beginning.
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Thread (3 messages)

Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18 Melo Velandia Luis Fernando R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18 Steven Archambault R: [Fwd: R-SIG-Finance Digest, Vol 60, Issue 18] May 18