(a) Let where Q is the fixed effects (FE) transformation given by Q = I NT − P with P = I N ⊗ ιTιT′/T.
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Baltagi, B. H. (2005). Solutions to Problems Posed in Volume 20(1) and 20(2): 04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares An excellent solution has been proposed independently by Shiferaw Gurmu, Georgia State University.—Solution. Econometric Theory, 21(2), 483-484. https://doi.org/10.1017/S0266466605210277