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Alternative ways of obtaining Hausman's test using artificial regressions

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  • Baltagi, Badi H.
  • Liu, Long

Abstract

Hausman [1978. Specification tests in econometrics. Econometrica 46, 1251-1271] showed that his specification test in panel data, which is based on the contrast between fixed effects (FE) and the random effects (RE) estimators, can also be obtained as a Wald test from an artificial OLS regression. This paper generalizes this result to the 2SLS counterpart. Instead of a contrast based on FE 2SLS and RE 2SLS as proposed more recently by Baltagi [2004. A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares, problem 04.1.1. Econometric Theory 20, 223-224] artificial regressions are proposed that would generate this Hausman test using 2SLS regressions.

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  • Baltagi, Badi H. & Liu, Long, 2007. "Alternative ways of obtaining Hausman's test using artificial regressions," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1413-1417, July.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:13:p:1413-1417
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    1. Ahn, Seung C. & Low, Stuart, 1996. "A reformulation of the Hausman test for regression models with pooled cross-section-time-series data," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 309-319.
    2. Arellano, Manuel, 1993. "On the testing of correlated effects with panel data," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 87-97, September.
    3. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    4. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    5. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    6. Baltagi, Badi H., 2004. "04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares," Econometric Theory, Cambridge University Press, vol. 20(1), pages 223-224, February.
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