The two-way Hausman and Taylor estimator

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2 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 languageEnglish (US)
Article number111159
JournalEconomics Letters
Volume228
DOIs
StatePublished - 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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