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

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journalArticle

130 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 languageEnglish (US)
Pages (from-to)361-369
Number of pages9
JournalEconomics Letters
Volume79
Issue number3
DOIs
StatePublished - Jun 1 2003
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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