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Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test

Author

Listed:
  • Seung Chan Ahn

    (Department of Economics, Arizona State University)

  • Hyungsik Roger Moon

    (Department of Economics, University of Southern California)

Abstract

This paper examines the asymptotic properties of the popular within, GLS estimators and the Hausman test for panel data models with both large numbers of cross-section (N) and time-series (T) observations. The model we consider includes the regressors with deterministic trends in mean as well as time invariant regressors. If a time-varying regressor is correlated with time invariant regressors, the time series of the time varying regressor is not ergodic. Our asymptotic results are obtained considering the dependence of such non-ergodic time-varying regressors. We find that the within estimator is as efficient as the GLS estimator. Despite this asymptotic equivalence, however, the Hausman statistic, which is essentially a distance measure between the two estimators, is well defined and asymptotically \chi^2-distributed under the random effects assumption.

Suggested Citation

  • Seung Chan Ahn & Hyungsik Roger Moon, 2001. "Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-2, International Conferences on Panel Data.
    • Handle: RePEc:cpd:pd2002:a6-2
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    References listed on IDEAS

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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.
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    Cited by:

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    4. Mamunur Rashid & Fauzias Mat Nor & Izani Ibrahim, 2013. "Evidence of Dividend Catering Theory in Malaysia: Implications for Investor Sentiment," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(4), December.
    5. Ceyhun Haydaroglu, 2016. "The Effect of Foreign Direct Investment and Economic Freedom on Economic Growth: The Case of BRICS Countries," Research in World Economy, Research in World Economy, Sciedu Press, vol. 7(1), pages 1-10, June.

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