--------+----------------------------------------------------------------
sigma_u | .65647679
sigma_e | .58378825
rho | .55840665 (fraction of variance due to u_i)
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects:
rate[abipro,t] = Xb + u[abipro] + e[abipro,t]
Estimated results:
Var sd = sqrt(Var)
---------+-----------------------------
rate | 1.944719 1.394532
e | .3408087 .58378825
u | .4309618 .65647679
Test: Var(u) = 0
chi2(1) = 6620.14
Prob>chi2 = 0.0000
. xthaus
Hausman specification test
----Coefficients ----
| Fixed Random
rate | Effects Effects Difference
|
---------+- |
12.09587 |
19.27733 |
-----7-.-1--8-1465 |
|
nbanks | |
.0076926 |
.0094431 |
-.0017505 |
|
ann90 | |
2.405859 |
2.358083 |
.0477767 |
|
ann91 | |
2.349755 |
2.297686 |
.0520688 |
|
ann92 | |
2.900835 |
2.855151 |
.0456835 |
|
ann93 | |
.9376989 |
.8857715 |
.0519274 |
|
ann94 | |
.2078109 |
.1722926 |
.0355183 |
|
ann95 | |
1.061032 |
1.043054 |
.0179776 |
Test: Ho: difference in coefficients not systematic
chi2( 8) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re) = 80.62
Prob>chi2 = 0.0000
25
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