[Limdep Nlogit List] Hausman Test Interpretation: Limdep Output
ndaou at fontanagroup.com
Wed Feb 18 10:25:54 EST 2009
The Hausman statistic tests against H0: that the Random Effects coefficients in a panel data model are not different from the Fixed Effects coefficients. Alternatively, I have seen H0: that Fixed Effects coefficients are appropriate to use. In terms of Fixed vs. Random model selection, one would use FEM unless the value of H merited the rejection of H0. My confusion is that the LIMDEP output says that High (Low) values of H favor FEM (REM). If my understanding of the distribution of the Hausman statistic is correct, the opposite would be true. In other words, H would grow along with the differences between FEM and REM coefficients. Is my understanding correct, or is the LIMDEP output unclear?
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