lundi 4 mars 2019

Hausman Test and radndom effect model interpretation

My question is that why the Hausman Test shows p value is 1? This perfect 1 makes me nervous over whether it is normal or something else is wrong?

If it is correct, how should I holistically interpret the random effect model output?

Thanks a lot.

> fe.fit = plm(D ~ itr + ip + age + sen + relv + sexdummy + exprdummy + knowdummy, data = merge, family = binomial , index = 'ID', model = "within") summary(fe.fit)

> summary(fe.fit) Oneway (individual) effect Within Model

Call: plm(formula = D ~ itr + ip + age + sen + relv + sexdummy + exprdummy + knowdummy, data = merge, model = "within", index = "ID", family = binomial)

Balanced Panel: n = 203, T = 30, N = 6090

Residuals: Min. 1st Qu. Median 3rd Qu. Max. -1.12022 -0.37350 0.10516 0.31743 1.07604

Coefficients: Estimate Std. Error t-value Pr(>|t|)
sen -0.00563553 0.00029832 -18.891 < 2.2e-16 *** relv 0.00407129 0.00033073 12.310 < 2.2e-16 ***

Total Sum of Squares: 1194.5 Residual Sum of Squares: 1046.9 R-Squared: 0.12357 Adj. R-Squared: 0.093187 F-statistic: 414.862 on 2 and 5885 DF, p-value: < 2.22e-16

> re.fit = plm(D ~ itr + ip + age + sen + relv + sexdummy + exprdummy + knowdummy, data = merge, family = binomial , index = 'ID', model = "random") > summary(re.fit) Oneway (individual) effect Random Effect Model (Swamy-Arora's transformation)

Call: plm(formula = D ~ itr + ip + age + sen + relv + sexdummy + exprdummy + knowdummy, data = merge, model = "random", index = "ID", family = binomial)

Balanced Panel: n = 203, T = 30, N = 6090

Effects: var std.dev share idiosyncratic 0.17789 0.42177 0.884 individual 0.02334 0.15276 0.116 theta: 0.5499

Residuals: Min. 1st Qu. Median 3rd Qu. Max. -0.98151 -0.42977 0.15663 0.32311 0.97436

Coefficients: Estimate Std. Error z-value Pr(>|z|)
(Intercept) 0.36474342 0.14934874 2.4422 0.0145970 *
itr 0.04968868 0.01389861 3.5751 0.0003501 *** ip -0.00689283 0.01161468 -0.5935 0.5528748
age 0.01078111 0.00553912 1.9464 0.0516119 .
sen -0.00563553 0.00029832 -18.8908 < 2.2e-16 *** relv 0.00407129 0.00033073 12.3099 < 2.2e-16 *** sexdummy -0.06338253 0.02629987 -2.4100 0.0159528 *
exprdummy -0.01749713 0.04206798 -0.4159 0.6774648
knowdummy 0.02462112 0.04132943 0.5957 0.5513566

Total Sum of Squares: 1234.9 Residual Sum of Squares: 1081.7 R-Squared: 0.12401 Adj. R-Squared: 0.12286 Chisq: 860.86 on 8 DF, p-value: < 2.22e-16 > phtest(fe.fit, re.fit)

Hausman Test

data: D ~ itr + ip + age + sen + relv + sexdummy + exprdummy + knowdummy chisq = 2.0691e-11, df = 2, p-value = 1 alternative hypothesis: one model is inconsistent




Aucun commentaire:

Enregistrer un commentaire