Dear list:

This morning a friend estimating panel data using Stata asked me how to select among different estimated models. I'm not expert in panel data analysis neither a Stata user, but I have replied the possibility to use the Hausman test to choice between FE and RE.... and among the different FE and RE estimated models to use the adjusted R2, AIC or BIC criteria to select the best one....

He replied me that he cannot get the AIC and BIC criteria for RE models, because Stata warns:

"estat ic (the command Stata uses to provide AIC and BIC) is not appropriate after xtreg with the be , pa, or re (random effects) option"....


where be = (between effects)
and re=(random effects)


After looking for different Stata forums I have found other users with the same issue...but not solution and explanation have been found on this topic.

However, I have just checked that Gretl provides and AIC and BIC values after random effects and between effects estimation. 

Somebody has a clue because Stata warns about this AIC and BIC criteria with this models??? Are the values provided by Gretl reliables to compare this kind of models or there are a better criteria to compare them?? Could be this issue due for different estimation methods in Stata and Gretl for panel data???

Thanks in advance and sorry for any inconvenience.

José Perles

University of Alicante (Spain)