Fixed effects, random effects or Hausman-Taylor? A pretest estimator

Badi H. Baltagi; Georges Bresson; Alain Pirotte

doi:10.1016/S0165-1765(03)00007-7

Fixed effects, random effects or Hausman-Taylor? A pretest estimator

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journal › Article › peer-review

205 Scopus citations

Abstract

This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.

Original language	English (US)
Pages (from-to)	361-369
Number of pages	9
Journal	Economics Letters
Volume	79
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(03)00007-7
State	Published - Jun 1 2003
Externally published	Yes

Keywords

Fixed effects
Hausman-Taylor
Panel data
Pretest estimator
Random effects
Simulations

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/S0165-1765(03)00007-7

Cite this

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title = "Fixed effects, random effects or Hausman-Taylor? A pretest estimator",

abstract = "This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.",

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author = "Baltagi, {Badi H.} and Georges Bresson and Alain Pirotte",

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AU - Bresson, Georges

AU - Pirotte, Alain

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N2 - This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.

AB - This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.

KW - Fixed effects

KW - Hausman-Taylor

KW - Panel data

KW - Pretest estimator

KW - Random effects

KW - Simulations

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JO - Economics Letters

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Fixed effects, random effects or Hausman-Taylor? A pretest estimator

Abstract

Keywords

ASJC Scopus subject areas

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