Alternative ways of obtaining Hausman's test using artificial regressions

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

Hausman [1978. Specification tests in econometrics. Econometrica 46, 1251-1271] showed that his specification test in panel data, which is based on the contrast between fixed effects (FE) and the random effects (RE) estimators, can also be obtained as a Wald test from an artificial OLS regression. This paper generalizes this result to the 2SLS counterpart. Instead of a contrast based on FE 2SLS and RE 2SLS as proposed more recently by Baltagi [2004. A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares, problem 04.1.1. Econometric Theory 20, 223-224] artificial regressions are proposed that would generate this Hausman test using 2SLS regressions.

Original languageEnglish (US)
Pages (from-to)1413-1417
Number of pages5
JournalStatistics and Probability Letters
Volume77
Issue number13
DOIs
StatePublished - Jul 15 2007

Keywords

  • 2SLS
  • Hausman test
  • Panel data
  • Random effects
  • Wald test

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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