[Opeyemi Aromolaran]

Hi all
I got this outcome which gives me concern:
hausman mg pmg, sigmamore

Note: the rank of the differenced variance matrix (3) does not equal the number of coefficients being tested (5); 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.
Can I still go ahead to interprete the the pooled mean group?

[Andrew Musau]

You do not show the output of your regressions. This can happen if the standard errors on some of your variables are effectively zero. If this is the case, try rescaling those variables. As you can see below, it matters to the result whether some variables are dropped from the test. Here is an example:

webuse grunfeld, clear
replace mvalue =mvalue*1e+10
xtset company year
xtreg invest mvalue kstock, fe
est sto fe
xtreg invest mvalue kstock
est sto re
hausman fe re
*RESCALE MVALUE
replace mvalue= mvalue/1e+10
xtreg invest mvalue kstock, fe
est sto fe
xtreg invest mvalue kstock
est sto re
hausman fe re

Res.:

. hausman fe re

Note: the rank of the differenced variance matrix (1) does not equal the number of coefficients being tested (2);
        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.

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |       fe           re         Difference          S.E.
-------------+----------------------------------------------------------------
      mvalue |    1.10e-11     1.10e-11        3.43e-14        5.52e-13
      kstock |    .3100653      .308113        .0019524        .0024516
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtreg
            B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =        0.63
                Prob>chi2 =      0.4258

.
. *RESCALE MVALUE


. hausman fe re

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |       fe           re         Difference          S.E.
-------------+----------------------------------------------------------------
      mvalue |    .1101238     .1097811        .0003426        .0055213
      kstock |    .3100653      .308113        .0019524        .0024516
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtreg
            B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =        2.33
                Prob>chi2 =      0.3119

.