Hi Clive, Thank you. I'm new so may have missed your previous note. Do you know what Gretl does for the Hausman test when robust estimates are ticked? I realise cluster-robust SE might be the best but I'm teaching students that might be past their econometric skills. Alison Get Outlook for Android<https://aka.ms/AAb9ysg> ________________________________ From: Clive Nicholas <clivelists(a)googlemail.com&gt; Sent: Friday, November 4, 2022 6:47:42 PM To: Gretl list <gretl-users(a)gretlml.univpm.it&gt; Subject: [Gretl-users] Re: Hausman test and robust estimates [CAUTION - EXTERNAL EMAIL] Please ensure you do not reply, click links, or open attachments unless you have verified the sender and know the content is safe. I've written on this before here and it depends what you mean by robust, but maybe consider running a linear regression model with cluster-robust SEs, then run the model again but this time including cluster means for the same variables (only if they're continuously measured; leave alone if they're not), then run a likelihood ratio test of the two models. If the test statistic is significant: (a) the random-effects assumption is violated; and (b) it's arguably better than running a Hausman test. C On Fri, 4 Nov 2022 at 13:43, Alison Loddick <Alison.Loddick@northampton.ac.uk<mailto:Alison.Loddick@northampton.ac.uk>> wrote: Hi, This I'm hoping is an easy question. I'm doing panel regression with robust estimates. I have read that you cannot do a Hausman test on robust estimates. I'm wondering therefore whether Gretl does the test on the non-robust estimates or whether it does a robust hausman test? Thank you for any help Alison Get Outlook for Android<https://aka.ms/AAb9ysg> University of Northampton: Transforming Lives and Inspiring Change www.northampton.ac.uk<http://www.northampton.ac.uk> This e-mail is private and may be confidential and is for the intended recipient only. If you are not the intended recipient you are strictly prohibited from using, printing, copying, distributing or disseminating this e-mail or any information contained in it. We virus scan all E-mails leaving The University of Northampton but no warranty is given that this E-mail and any attachments are virus free. You should undertake your own virus checking. The right to monitor E-mail communications through our networks is reserved by us. Disclaimer The information contained in this communication from the sender is confidential. It is intended solely for use by the recipient and others authorized to receive it. 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To find out more, visit our website. _______________________________________________ Gretl-users mailing list -- gretl-users@gretlml.univpm.it<mailto:gretl-users@gretlml.univpm.it> To unsubscribe send an email to gretl-users-leave@gretlml.univpm.it<mailto:gretl-users-leave@gretlml.univpm.it> Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/&... -- Clive Nicholas "My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson University of Northampton: Transforming Lives and Inspiring Change www.northampton.ac.uk This e-mail is private and may be confidential and is for the intended recipient only. If you are not the intended recipient you are strictly prohibited from using, printing, copying, distributing or disseminating this e-mail or any information contained in it. We virus scan all E-mails leaving The University of Northampton but no warranty is given that this E-mail and any attachments are virus free. You should undertake your own virus checking. The right to monitor E-mail communications through our networks is reserved by us. Disclaimer The information contained in this communication from the sender is confidential. It is intended solely for use by the recipient and others authorized to receive it. If you are not the recipient, you are hereby notified that any disclosure, copying, distribution or taking action in relation of the contents of this information is strictly prohibited and may be unlawful. This email has been scanned for viruses and malware, and may have been automatically archived by Mimecast, a leader in email security and cyber resilience. Mimecast integrates email defenses with brand protection, security awareness training, web security, compliance and other essential capabilities. 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Thank you Allin Get Outlook for Android<https://aka.ms/AAb9ysg> ________________________________ From: Allin Cottrell <cottrell(a)wfu.edu&gt; Sent: Friday, November 4, 2022 7:36:31 PM To: Gretl list <gretl-users(a)gretlml.univpm.it&gt; Cc: Paul Rice <Paul.Rice(a)northampton.ac.uk&gt; Subject: [Gretl-users] Re: Hausman test and robust estimates [CAUTION - EXTERNAL EMAIL] Please ensure you do not reply, click links, or open attachments unless you have verified the sender and know the content is safe. On Fri, 4 Nov 2022, Alison Loddick wrote: As explained in the chapter of the Gretl User's Guide titled "Panel data" there are two ways of carrying out the Hausman test, the matrix-difference method (which can fail in finite samples) and the regression method (which will always work). By default gretl uses the regression method, and handles correctly the case where a robust covariance estimator was employed for the random effects model. Actually the documentation in the User's Guide is out of date on this point: it implies that gretl always uses sums of squared residuals in computing the Hausman test via the regression method (which would not be robust). In fact, in the robust case we compute a Wald chi-square statistic based on a robust estimator of the covariance matrix of the augmented regression. So the doc needs updating; thanks for drawing that to our attention! Allin Cottrell _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/&... University of Northampton: Transforming Lives and Inspiring Change www.northampton.ac.uk This e-mail is private and may be confidential and is for the intended recipient only. If you are not the intended recipient you are strictly prohibited from using, printing, copying, distributing or disseminating this e-mail or any information contained in it. We virus scan all E-mails leaving The University of Northampton but no warranty is given that this E-mail and any attachments are virus free. You should undertake your own virus checking. The right to monitor E-mail communications through our networks is reserved by us. Disclaimer The information contained in this communication from the sender is confidential. It is intended solely for use by the recipient and others authorized to receive it. If you are not the recipient, you are hereby notified that any disclosure, copying, distribution or taking action in relation of the contents of this information is strictly prohibited and may be unlawful. This email has been scanned for viruses and malware, and may have been automatically archived by Mimecast, a leader in email security and cyber resilience. Mimecast integrates email defenses with brand protection, security awareness training, web security, compliance and other essential capabilities. Mimecast helps protect large and small organizations from malicious activity, human error and technology failure; and to lead the movement toward building a more resilient world. To find out more, visit our website.