The two-way Hausman and Taylor estimator

Badi H. Baltagi

doi:10.1016/j.econlet.2023.111159

The two-way Hausman and Taylor estimator

Badi H. Baltagi

Department of Economics

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

4 Scopus citations

Abstract

This paper reconsiders the two-way Hausman and Taylor (1981) estimator suggested by Wyhowski (1994). The two-way HT estimator allows some but not necessarily all the regressors to be correlated with the individual and time effects. It also allows the estimation of the effects of time-invariant as well as individual-invariant regressors which are wiped out by the two-way fixed effects estimator. Hausman type tests are proposed for this two-way HT regression to test the over-identification conditions implied by the choice of the uncorrelated regressors. This should prove useful for empirical work in this area.

Original language	English (US)
Article number	111159
Journal	Economics Letters
Volume	228
DOIs	https://doi.org/10.1016/j.econlet.2023.111159
State	Published - Jul 2023

Keywords

Fixed and random effects
Hausman and Taylor estimator.
Hausman test
Panel data
Two-way error components model

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2023.111159

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title = "The two-way Hausman and Taylor estimator",

abstract = "This paper reconsiders the two-way Hausman and Taylor (1981) estimator suggested by Wyhowski (1994). The two-way HT estimator allows some but not necessarily all the regressors to be correlated with the individual and time effects. It also allows the estimation of the effects of time-invariant as well as individual-invariant regressors which are wiped out by the two-way fixed effects estimator. Hausman type tests are proposed for this two-way HT regression to test the over-identification conditions implied by the choice of the uncorrelated regressors. This should prove useful for empirical work in this area.",

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N2 - This paper reconsiders the two-way Hausman and Taylor (1981) estimator suggested by Wyhowski (1994). The two-way HT estimator allows some but not necessarily all the regressors to be correlated with the individual and time effects. It also allows the estimation of the effects of time-invariant as well as individual-invariant regressors which are wiped out by the two-way fixed effects estimator. Hausman type tests are proposed for this two-way HT regression to test the over-identification conditions implied by the choice of the uncorrelated regressors. This should prove useful for empirical work in this area.

AB - This paper reconsiders the two-way Hausman and Taylor (1981) estimator suggested by Wyhowski (1994). The two-way HT estimator allows some but not necessarily all the regressors to be correlated with the individual and time effects. It also allows the estimation of the effects of time-invariant as well as individual-invariant regressors which are wiped out by the two-way fixed effects estimator. Hausman type tests are proposed for this two-way HT regression to test the over-identification conditions implied by the choice of the uncorrelated regressors. This should prove useful for empirical work in this area.

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KW - Hausman and Taylor estimator.

KW - Hausman test

KW - Panel data

KW - Two-way error components model

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VL - 228

JO - Economics Letters

JF - Economics Letters

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ER -

The two-way Hausman and Taylor estimator

Abstract

Keywords

ASJC Scopus subject areas

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