Hi, I am trying to run a panel regression using 88 observations and 9 variables. In-built Hausman Test did not work, then I found a code for auxiliary regression method for the Hausman test.
The panel models are: fe=plm(gd ~ l+g+o+c+g1+h+n+r, model = "within", data = new.frame,index = c("id")) re=plm(gd ~ l+g+o+c+g1+h+n+r, model = "random", data = new.frame,index = c("id"),random.method="amemiya") then I wrote the following function for the Hausman Test using an auxiliary regression method: hmtest=function(re=0,fe=0){ y.re=pmodel.response(re) X.re=model.matrix(re) X.fe=model.matrix(fe) auxdata<-data.frame(cbind(y.re,X.re,X.fe)) colnames(auxdata)<-c("y", paste("x", 1:17, sep="")) auxmod<-lm(y~x1+x2+x3+x4+x5+x6+x7+x8+x9+x10+x11+x12+x13+x14+x15+x16+x17-1, auxdata) return(waldtest(auxmod, 10:17)[2,4]) } using the function above to choose between "fe" and "re" hmtest(re,fe) Error in solve(vc[ovar, ovar]) : subscript out of bounds Not sure what's gone wrong this time. I would appreciate your comments! -- View this message in context: http://r.789695.n4.nabble.com/plm-Hausman-Test-error-tp4662980.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.