Choosing Fixed-Effects, Random-Effects or Pooled OLS Models in Panel Data Analysis using Stata

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  • čas přidán 4. 09. 2024

Komentáře • 116

  • @user-kr4pm3wq9x
    @user-kr4pm3wq9x Před 2 lety +13

    Thanks. This is the first channel explaining everything clearly and step by step by using a real, published study. Please upload more models, tests, and commands

    • @HKTStata
      @HKTStata  Před 2 lety

      Thanks for watching and comments!

  • @user-lr2tk5yr1h
    @user-lr2tk5yr1h Před 7 měsíci +2

    That's how you clearly explain the steps. Much appreciated

  • @johnmh5192
    @johnmh5192 Před 2 lety +2

    Thank you so much for using data from your empirical study to teach how to carry out the analysis. Its been very helpful .

  • @bidima1218
    @bidima1218 Před 2 lety +1

    There are a few mistakes, but it is a very helpful video to understand. You are a legend, thank you!

  • @jameskaburia
    @jameskaburia Před 2 lety +5

    This was a really helpful video that breaks it down clearly! Thanks!

  • @Souravseye
    @Souravseye Před 2 lety

    Please can I apply same to my RE model, if my Hausman test results allows me to pick RE model... I wanna eliminate heteroskedasticity

    • @HKTStata
      @HKTStata  Před 2 lety

      Yes you can; you can also use the robust option for eliminating heteroskedasticity of your RE

  • @thecollector5622
    @thecollector5622 Před 2 lety +1

    Thank you sir, for the excellent video. I have run the FE and RE for research data.

  • @NutaBossCrew
    @NutaBossCrew Před 2 lety +1

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

  • @DrPommes
    @DrPommes Před 14 dny +1

    Hello, may I ask a question for my regression: I did the Hausman test and the result was 0.000 -> so i am going to use the Fixed Effects Regression. After I used the Peusch-Pagan Test it showed me a result of 1.000 which means that I should or can use the POLS regression. Should i continue with the FE or the POLS?

    • @HKTStata
      @HKTStata  Před 14 dny

      with FE my friend :)
      please see the figure 1 of our article doi.org/10.3390/su11174569

  • @sonjaskoric1585
    @sonjaskoric1585 Před 2 lety +1

    the concepts were explained really well. Thank you!

  • @biauaswlkp
    @biauaswlkp Před 2 lety +1

    I found your presentation very helpful and explained so clearly thank you :)

  • @user-tn9xc7hu9t
    @user-tn9xc7hu9t Před 2 lety +1

    That was amazingly explained with interesting examples. Thanks a lot

  • @donasp5391
    @donasp5391 Před 2 lety +1

    Very good explanations! Thank you so much!

  • @dalilatoss1627
    @dalilatoss1627 Před 2 lety +2

    this video is so useful, thank you very much!

  • @qasimkhan4199
    @qasimkhan4199 Před rokem +1

    Excellent explaination 👍

  • @dka9756
    @dka9756 Před 5 měsíci +1

    Hi, I have 2 dependent variables that I want to test separately, Can I run the Hausman test for both of them separately?

    • @HKTStata
      @HKTStata  Před 5 měsíci

      You must run 02 selection processes separately for 02 dependent variables; in each process, run the hausman test for selecting the right model of each dependent variable. Good luck!

  • @NOWYSZCZYT
    @NOWYSZCZYT Před 2 lety +3

    pretty Splendid. But I have a request please use command mode and speak slowly to elaborate more in-depth.

    • @HKTStata
      @HKTStata  Před 2 lety +1

      Please see Torres-Reyna (2007) at www.princeton.edu/~otorres/Panel101.pdf

  • @khaledaziz7134
    @khaledaziz7134 Před 2 lety +2

    Good explication of this method

  • @huynhanna6840
    @huynhanna6840 Před 2 lety +2

    Great tutorial

  • @OppoOppo-kt4uv
    @OppoOppo-kt4uv Před 2 lety +2

    This method is hot, thanks !

  • @hushjay3134
    @hushjay3134 Před měsícem +1

    may I ask that in this case , there are two control variables gdp growth and size , there are all classified as independent variable in 10:05? isn't there a menu to choose them for control variable or they are treated same as other independent variables. thank you professor if I want to add moderate variable , where can I add it in the menu?

    • @HKTStata
      @HKTStata  Před měsícem +1

      Control variables are treated same as other independent variables. I'm very sorry that the panel data analysis has not yet addressed the moderating effect. I'm also trying to find how to add a moderating variable, but I haven't found a way yet.

    • @hushjay3134
      @hushjay3134 Před měsícem

      @@HKTStata I found that you can run the moderate effect by multiplying with the dependent variable ,that is the only way ,but I am curious that if you are a professor why you still don't now this , thank you for your reply

    • @HKTStata
      @HKTStata  Před měsícem +1

      Testing moderating effects by multiplying two independent variables is a simple and theoretical method. This often requires accompanying robust tests for the moderating effect (e.g., the PROCESS macro developed by A.F. Hayes for SPSS; however, not suitable for panel data analysis). Therefore, this multiplication method may not convince "rigorous" reviewer. I emphasize "rigorous" ones; thus, you can still try using this method.

    • @hushjay3134
      @hushjay3134 Před měsícem

      @@HKTStata thanks I got it, but when I saw the published paper, it moderating effect was run by multiplying independent variable and dependent variable ,not two independent variables , thank you for your reply ,All in all,I still gain a lot from your videos ,which save my thesis.

    • @HKTStata
      @HKTStata  Před měsícem +1

      multiplying independent variable and dependent variable is wrong. Please see doi.org/10.1037/0022-3514.51.6.1173 & ademos.people.uic.edu/Chapter14.html

  • @eunjungoh1675
    @eunjungoh1675 Před rokem +1

    Hi thank you for the video which is very helpful. One comment on the first hausman test result to be sure: wouldn't it be that we "reject" the null hypothesis (H0: random effect is a preferred model) as the p-value is 0.000, and accept the H1: fixed effect is a preferred model? The video says that the hausman test allows us to "accept" the null hypothesis and choose to use fixed effects.

    • @HKTStata
      @HKTStata  Před rokem +1

      Thanks for your comment. The correct interpretation must be "the hausman test allows us to reject the null hypothesis and choose to use fixed effects".
      Random effects (RE) is preferred under the null hypothesis due to higher efficiency, while under the alternative Fixed effects (FE) is at least as consistent and thus preferred.
      If the p-value is small (less than 0.05), reject the null hypothesis.

  • @farhanfarzam4278
    @farhanfarzam4278 Před 10 měsíci +1

    thank you for this video

  • @tool3cuocsong138
    @tool3cuocsong138 Před 2 lety

    Dougherty's knowledge at 6:17? In the ones I can find the page 421 isn't providing your given information/flowchart. Thank you.

    • @HKTStata
      @HKTStata  Před 2 lety

      Dougherty, C. Introduction to Econometrics; OUP Oxford: Oxford, UK, 2011. You can find it in the reference of our article at doi.org/10.3390/su11174569

  • @thv9424
    @thv9424 Před 9 měsíci +1

    In hausman test p value came 0 means fixed effect model is appropriate but in xttest0 p value came 1 means pooled is appropriate. So which on is appropriate for this analysis??? Please can you explain

    • @HKTStata
      @HKTStata  Před 9 měsíci

      You should see the figure 1 in our article doi.org/10.3390/su11174569
      You can use only the hausman test for your decision.
      You can see also czcams.com/video/AxFVb75QSf4/video.html

    • @thv9424
      @thv9424 Před 9 měsíci

      That's mean i have to do hausman test Again Between pooled ols and Fixed effect model?

    • @thv9424
      @thv9424 Před 9 měsíci

      And if significant p value came then means fixed effect model is appropriate????

    • @HKTStata
      @HKTStata  Před 9 měsíci +1

      The hausman test is for choosing between random or fixed effect model. The xttest0 is for choosing between pooled OLS or random effect model. If the hausman test is significant (p < 0.05), it means fixed effect model is appropriate; then you can ignore the xttest0 according to the figure 1 in our article doi.org/10.3390/su11174569

    • @thv9424
      @thv9424 Před 9 měsíci

      Thanks

  • @kerajinantanpabatas9628
    @kerajinantanpabatas9628 Před 2 lety +1

    Good job

  • @irfanrashidganie3832
    @irfanrashidganie3832 Před rokem +1

    Hi, Thank you for such a fantastic video, in my case I got a p-value of more than .05 for both the Hausman test and LM. What should I do?

    • @HKTStata
      @HKTStata  Před rokem +1

      It means that your appropriate model is OLS regression. Thanks for watching and for your comment!

    • @irfanrashidganie3832
      @irfanrashidganie3832 Před rokem

      @@HKTStata SImple OLS or pooled OLS?

    • @HKTStata
      @HKTStata  Před rokem +1

      In my opinion, multiple OLS and pooled OLS are the same; let's see the regression equation at the end of phantran.net/different-regression-models-with-panel-data-fixed-effects-random-effects-and-pooled-ols/

    • @irfanrashidganie3832
      @irfanrashidganie3832 Před rokem

      @@HKTStata yes I also understand it in the same way. Thank you so much for your responses and help on this.

  • @protanker3237
    @protanker3237 Před 2 lety

    Thank you very much sir

  • @xtremedesignner
    @xtremedesignner Před 2 lety

    Thank you for this video. Now my question is that exist any test of endogeneity in the fix effects model. Thank you very much.

  • @sameeraismail6224
    @sameeraismail6224 Před rokem

    How do we decide between Pooled OLS and and fixed effects? If I fail to reject the null of the Breush-Pagan Lagrange multiplier result

    • @HKTStata
      @HKTStata  Před rokem

      If p < 0.05 in your LM test, you choose the fixed-effect.

  • @clarajoanjoachim2179
    @clarajoanjoachim2179 Před rokem

    hello, due to heteros I put robust, but my result doesn't show probability value and just a dot. any advice?

    • @HKTStata
      @HKTStata  Před rokem +1

      dots in Stata output mean missing values. The standard errors for those two coefficients could not be computed; presumably there is a problem of near-collinearity in the regressors (assuming this is regression output). See more www.stata.com/statalist/archive/2005-11/msg00282.html
      You should remove such variables!

    • @rigao7533
      @rigao7533 Před rokem

      Hello,did you solve your problem? thanks

    • @HKTStata
      @HKTStata  Před rokem

      You should remove such variables!

    • @clarajoanjoachim2179
      @clarajoanjoachim2179 Před rokem +1

      @@rigao7533 hello, i figured my number of variables are bigger than my cross sectional unit. I have removed some of my variables and able to get p-value reading

  • @qkpetwiki
    @qkpetwiki Před 10 měsíci

    Please reply me, is xttest0 in choosing model and xttest0 in check heteroskedasticity for RE model the same? REM is appropriate model for my data. First I check xttest0 to choose between RE and POLS then I use hausman to choose between RE and FE. Now I want to check heteroskedasticity for RE. What should I do?

    • @HKTStata
      @HKTStata  Před 10 měsíci +1

      To check heteroskedasticity for RE, you should use 2 following commands:
      xtgls Y X1 ...Xn, panels(hetero)
      xtreghet Y X1 ... Xn, id(ID) it(Year) model(xtmln) mfx(lin) diag lmhet
      If heteroskedasticity, run: xtreg Y X1 ... Xn, robust re
      Good luck :)

    • @qkpetwiki
      @qkpetwiki Před 10 měsíci

      @@HKTStata what is the name of this method? can you tell me I have to write on my paper

    • @HKTStata
      @HKTStata  Před 10 měsíci +1

      You can see www.stata.com/manuals/xtxtgls.pdf
      and fmwww.bc.edu/RePEc/bocode/x/xtreghet.html

    • @qkpetwiki
      @qkpetwiki Před 10 měsíci +1

      @@HKTStata thank you ^^ you save my day

  • @uberuber4245
    @uberuber4245 Před 2 lety +1

    Its really very informative. But I am unable to run sigmamore command. Plz explain

    • @HKTStata
      @HKTStata  Před 2 lety

      You must assure that fixed and random regression have stored before run haussman test. Plz retry by respecting the following steps: 1. Performing fixed-effects regression by using command xtreg with option fe, 2. and save the fixed-effects estimates 3. Performing random-effects regression by using command xtreg with option re, 4. and save the random-effects estimates 5. the Hausman test with sigamore option

  • @user-kb3uo2rb6y
    @user-kb3uo2rb6y Před 2 lety +1

    Thanks for your great work!...AT the end, yoo explain the meaning of "rho", and the slide says "97.466% of the variance is due to differences across panels"...Did you want to say "entities" instead of "panels"?...Thanks again!

    • @HKTStata
      @HKTStata  Před 2 lety

      I based on Torres-Reyna (2007), but I think you are right ... across entities or observations of panel

  • @funnymoment7552
    @funnymoment7552 Před rokem

    As you know robust model may fix the heteroskedasticity problem and also Pooled OLS fixes the serial correlation problem. Which model is preferable if both (heteroskedasticity and serial correlation) tests are failed?

    • @HKTStata
      @HKTStata  Před rokem

      For Pooled OLS, you just test the heteroskedasticity, if the test failed, you should use robust option. You do not need the serial correlation test, this is only for panel data models such fixed and random effects ones; Pooled OLS ignores the time effect.

    • @funnymoment7552
      @funnymoment7552 Před rokem

      @@HKTStata Thanks for your prompt response. But I wanna comprehend the issues around my problem. My data has both heteroskedasticity and autocorrelation problems. Which model is feasible for this type of problem sir?

    • @HKTStata
      @HKTStata  Před rokem

      You can see www.homepages.ucl.ac.uk/~uctpsc0/Teaching/GR03/Heter&Autocorr.pdf
      Note that heteroskedasticity and/or autocorrelation problems do not matter; you can use robust option to fix them. So, choose the your appropriate model according to the process presented in my video; then add robust option for your chosen one; that is your final model.

  • @holyday732
    @holyday732 Před rokem

    hey i have a question (please i need very urgently help) i do the same but there comes a note which says: the rank of the differenced variance matrix (9) does not equal the number of
    coefficients being tested (10); be sure this is what you expect, or there may
    be problems computing the test. Examine the output of your estimators for
    anything unexpected and possibly consider scaling your variables so that the
    coefficients are on a similar scale.
    , but i dont see any problems, what should i do?

    • @HKTStata
      @HKTStata  Před rokem +1

      Try with sigmamore option!
      . hausman fe re,sigmamore
      Please see www.stata.com/manuals13/rhausman.pdf and www.albany.edu/faculty/kretheme/PAD705/SupportMat/PanelData.pdf (page 8)

  • @bahfamanta9993
    @bahfamanta9993 Před rokem +1

    Thank you very much! Could you provide the topic of your published paper ?

    • @HKTStata
      @HKTStata  Před rokem +1

      Yes, sure!
      Nguyen, Hoang Viet, Thanh Tu Phan, and Antonio Lobo. 2019. "Debunking the Myth of Foreign Direct Investment toward Long-Term Sustainability of a Developing Country: A Transaction Cost Analysis Approach" Sustainability 11, no. 17: 4569. doi.org/10.3390/su11174569

    • @bahfamanta9993
      @bahfamanta9993 Před rokem +1

      @@HKTStata Thank very much!

  • @bibybob9618
    @bibybob9618 Před 2 lety +1

    Modern presentation

  • @jari976
    @jari976 Před rokem

    Regarding the hausman fixed random test, I get the error that estimation result fixed not found. However, I did a fe and re test beforehand. Someone who can help?

    • @HKTStata
      @HKTStata  Před rokem

      Try to use the sigmamore option of hausman test!
      Good luck!

    • @jari976
      @jari976 Před rokem

      @@HKTStata
      xtreg roaab gov env soc bet lto tdt lte, fe

      estimates store fixed

      xtreg roaab gov env soc bet lto tdt lte, re

      hausman fixed., sigmamore
      I did this, but at the last command it says again estimation result fixed not found

    • @HKTStata
      @HKTStata  Před rokem

      Retry the following commands:
      xtreg roaab gov env soc bet lto tdt lte, fe
      estimates store fixed
      xtreg roaab gov env soc bet lto tdt lte, re
      estimates store random
      hausman fixed random
      xttest0
      The input of hausman test must be both fixed and random model.
      Good luck!

    • @jari976
      @jari976 Před rokem

      @@HKTStata It worked, thank you!
      b = Consistent under H0 and Ha; obtained from xtreg.
      B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
      Test of H0: Difference in coefficients not systematic
      chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
      = 32.55
      Prob > chi2 = 0.0000
      .
      . xttest0
      Breusch and Pagan Lagrangian multiplier test for random effects
      roaab[company_id,t] = Xb + u[company_id] + e[company_id,t]
      Estimated results:
      | Var SD = sqrt(Var)
      ---------+-----------------------------
      roaab | .0007081 .0266108
      e | .000149 .0122071
      u | .0002418 .0155483
      Test: Var(u) = 0
      chibar2(01) = 355.07
      Prob > chibar2 = 0.0000
      What does this mean? I'm struggling how to interpret it.

  • @MinhNguyen0623
    @MinhNguyen0623 Před rokem

    Thanks for your helpful video. Can I ask if xttest0 indicates that POLS is suitable (p_value=1.000) and after running xtserial for POLS model, autocorrelation exists. what could I do to fix it? Thanks.

    • @HKTStata
      @HKTStata  Před rokem

      For POLS model, you should use VIF indicators for checking the heteroskedasticity problem. If you have VIF > 4, you must eliminate the variable having highest VIF score. Good luck!

    • @MinhNguyen0623
      @MinhNguyen0623 Před rokem

      @@HKTStata thanks so much for your reply. But I would like to ask about autocorrelation appeared in POLS model.
      After using Breusch & Pagan LM (xttest0), I found that the POLS is preffered.
      Then I performed xtserial to test autocorrelation. P_value

    • @HKTStata
      @HKTStata  Před rokem

      You can use robust option:
      regress ...., robust
      or
      regress ...., vce(robust)
      Good luck!

    • @MinhNguyen0623
      @MinhNguyen0623 Před rokem +1

      @@HKTStata thanks for your help.

  • @juliakulczynska7685
    @juliakulczynska7685 Před rokem

    If the Hausman test provides chi2(9) = 7.76 and p = 0.5586, while the LM test xttest0 provided chi-square statistics of 58.46, based on this, is the random effects model more appropriate?

    • @juliakulczynska7685
      @juliakulczynska7685 Před rokem

      Also, if I have several independent variables, should I repeat the process for each one of them, and if the results indicate that different models be used for different independent variables, should I do it, or use the same model across all regressions?

    • @HKTStata
      @HKTStata  Před rokem

      The Hausman test providing chi2(9) = 7.76 and p = 0.5586 > 0.05 indicate that the random effects is appropriate (but not fixed-effect). The LM test xttest0 providing Prob > chi2 < 0.05 indicate that the random effects is appropriate (but not OLS).
      If you have several independent variables, you should run all of them at same time (do not repeat the process for each one of them) by choosing the appropriate model.

    • @juliakulczynska7685
      @juliakulczynska7685 Před rokem +1

      @@HKTStata Thank you for your answer! And sorry I actually meant to say that I have several dependent variables, hence my question is whether I repeat the process for each one of them, or just stick with one model like the random effects one

    • @HKTStata
      @HKTStata  Před rokem +1

      Yes, you must repeat the process for each one of dependent variables.

  • @RedmiRedmi-jb3po
    @RedmiRedmi-jb3po Před 2 lety

    Can u please provide the link for this excel data. The drive link u provided is not opening

    • @HKTStata
      @HKTStata  Před 2 lety

      Please use Stata 14 or later! You can also download data in excel here docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true

  • @juliakulczynska7685
    @juliakulczynska7685 Před rokem

    Isn’t it standard OLS and not pooled since you didn’t add pooled at the end of the command?

    • @HKTStata
      @HKTStata  Před rokem

      Pooled OLS is normal OLS; but just for panel data; so, we don't need to add anything at the end of the command. Good luck!

  • @rayhanchowdhury4652
    @rayhanchowdhury4652 Před rokem

    very helpful video. Thanks you so much
    Can you please help me explaining these results from stata. I need to explain result for my dissertation

    • @HKTStata
      @HKTStata  Před rokem

      Please see phantran.net/category/methodology/statistical-software/stata/

  • @batuonal3704
    @batuonal3704 Před rokem

    Does storing the estimates change or effect the data if we wanna do other regressions later?

    • @HKTStata
      @HKTStata  Před rokem

      No, storing will do not change your original data.

  • @aniksaha9925
    @aniksaha9925 Před 2 lety

    If p value of constant in FEM becomes more than 5%, would it be a problem?

    • @HKTStata
      @HKTStata  Před 2 lety +1

      No, there is no problem.

    • @aniksaha9925
      @aniksaha9925 Před 2 lety

      Another question related with this,
      Considering FEM is my final regression as per hausman test, then can i/ do i need to incorporate GMM regression output in my panel data analysis?
      If yes, how to interpret it, assuming 3 out of 4 independent variables got significant in GMM (whereas, 2 got significant in FEM),also how to interpret j-statistic and prob (j statistic)?

    • @HKTStata
      @HKTStata  Před 2 lety

      Please see Torres-Reyna (2007) at www.princeton.edu/~otorres/Panel101.pdf & phantran.net/different-regression-models-with-panel-data-fixed-effects-random-effects-and-pooled-ols/ & www.mdpi.com/2071-1050/11/17/4569

  • @myikot
    @myikot Před 2 lety +1

    Thank you sir, for the excellent video. I have run the FE and RE for research data.

  • @briankibiwott6507
    @briankibiwott6507 Před 2 lety

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

  • @ffslabel2843
    @ffslabel2843 Před 2 lety

    That was amazingly explained with interesting examples. Thanks a lot

  • @anabara6112
    @anabara6112 Před 2 lety

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

    • @HKTStata
      @HKTStata  Před 2 lety

      You can find it here:
      Database: drive.google.com/file/d/1G3NF-jL6Eoz9zrOjad5dMZrv33-Sp_D2/view?usp=sharing
      Data in excel: docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true

  • @saffirasad8828
    @saffirasad8828 Před 2 lety

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

    • @HKTStata
      @HKTStata  Před 2 lety

      Here you are:
      Database: drive.google.com/file/d/1G3NF-jL6Eoz9zrOjad5dMZrv33-Sp_D2/view?usp=sharing
      Data in excel: docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true