Fixed , Random , or Something in Between ? A Variant of HAUSMAN ’ s Specifi cation Test for Panel Data Estimators

نویسندگان

  • Manuel Frondel
  • Colin Vance
  • Thomas K. Bauer
  • Wolfgang Leininger
چکیده

This paper proposes a variant of the classical HAUSMAN specifi cation test commonly employed to decide whether the estimation of a random-eff ects model is a viable alternative to estimating fi xed eff ects. Whereas the classical test probes the equality of fi xedand random eff ects, the proposed variant focuses on the equality of between-groups and fi xed-eff ects coeffi cients. While both test procedures lead to the same conclusions, the panel model specifi cation underlying our testing strategy facilitates the simultaneous estimation of the fi xedand between-groups eff ects. As a consequence, we are able to examine both the equality of the whole range of coeffi cients as well as that of individual variables. The usefulness of the test is illustrated using a panel of household travel data for Germany. JEL Classifi cation: C12

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Fixed , Random , or Something in Between ? – A Variant of HAUSMAN ' s Specification Test for Panel

This paper proposes a variant of the classical HAUSMAN specifi cation test commonly employed to decide whether the estimation of a random-eff ects model is a viable alternative to estimating fi xed eff ects. Whereas the classical test probes the equality of fi xedand random eff ects, the proposed variant focuses on the equality of between-groups and fi xed-eff ects coeffi cients. While both tes...

متن کامل

Test of Random vs Fixed E¤ects with Small Within Variation

Comparisons of within and between estimators using the conventional Hausman test may be subject to statistical problems if the within variation is not su¢ ciently large. Adopting an alternative asymptotic approximation, we propose a modi…cation of Hausman test that is valid whether the within variation is small or large. 1 Introduction With the advent of many panel data sets, researchers are co...

متن کامل

Spatial Panels: Random Components vs. Fixed E¤ects

This paper investigates spatial panel data models with a space-time …lter in disturbances. We consider their estimation by both …xed e¤ects and random e¤ects speci…cations. With a between equation properly de…ned, the di¤erence of the random vs. …xed e¤ects models can be highlighted. We show that the random e¤ects estimate is a pooling of the within and between estimates. A Hausman type speci…c...

متن کامل

Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test∗

This paper examines the asymptotic properties of the popular within, GLS estimators and the Hausman test for panel data models with both large numbers of cross-section (N) and time-series (T) observations. The model we consider includes the regressors with deterministic trends in mean as well as time invariant regressors. If a time-varying regressor is correlated with time invariant regressors,...

متن کامل

The Effect of Fiscal Decentralization on Under-five Mortality in Iran: A Panel Data Analysis

Background Fiscal Decentralization (FD) in many cases is encouraged as a strong means of improving the efficiency and equity in the provision of public goods, such as healthcare services. This issue has urged the researchers to experimentally examine the relationship between fiscal decentralization indicators and health outcomes. In this study we examine the effect of Fiscal Decentralization in...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2010