Friday, December 16, 2005

st: RE: Breusch-Pagan test and random effects estimation

Valeriano, The Breusch-Pagan statistic test the null that var(vit)=0, so under the null OLS is consistent. If you accept the null, that means that you cannot estimate the model using Random Effects. I recommend you to estimate with Fixed Effects estimator and perform an F-test in order to evaluate the joint significance of the specific effects (at the bottom of the regression table appears this statistic). If you accept the null, you can conclude the absence of specific effects, so you can use OLS. I hope this will help you

Mariano

-----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martinez San Roman, Valeriano Sent: Viernes, 16 de Diciembre de 2005 05:47 a.m. To: statalist@hsphsun2.harvard.edu Subject: st: Breusch-Pagan test and random effects estimation

Hello all, I have other beginerĀ“s question. When you run a random effects estimation on panel data, and you compute the Breusch-Pagan test for random effects. If the statistic acept the null hypothesis, Can we conclude that the random effects estimator is better than the fixed effects one? Thank you very much.

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