IDEAS home Printed from https://ideas.repec.org/p/zbw/rwirep/160.html
   My bibliography  Save this paper

Fixed, Random, or Something in Between? – A Variant of HAUSMAN's Specification Test for Panel Data Estimators

Author

Listed:
  • Frondel, Manuel
  • Vance, Colin

Abstract

This paper proposes a variant of the classical HAUSMAN specification test commonly employed to decide whether the estimation of a random-effects model is a viable alternative to estimating fixed effects. Whereas the classical test probes the equality of fixed- and random effects, the proposed variant focuses on the equality of between-groups and fixed-effects coefficients. While both test procedures lead to the same conclusions, the panel model specification underlying our testing strategy facilitates the simultaneous estimation of the fixed- and between-groups effects. As a consequence, we are able to examine both the equality of the whole range of coefficients as well as that of individual variables. The usefulness of the test is illustrated using a panel of household travel data for Germany.

Suggested Citation

  • Frondel, Manuel & Vance, Colin, 2010. "Fixed, Random, or Something in Between? – A Variant of HAUSMAN's Specification Test for Panel Data Estimators," Ruhr Economic Papers 160, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    • Handle: RePEc:zbw:rwirep:160
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/36982/1/617381887.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    2. 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.
    3. Manuel Frondel & Jorg Peters & Colin Vance, 2008. "Identifying the Rebound: Evidence from a German Household Panel," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 145-164.
    4. Manuel Frondel & Colin Vance, 2009. "Do High Oil Prices Matter? Evidence on the Mobility Behavior of German Households," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 43(1), pages 81-94, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:zbw:rwirep:0209 is not listed on IDEAS
    2. O'Brien, Raymond & Patacchini, Eleonora, 2003. "Testing the exogeneity assumption in panel data models with "non classical" disturbances," Discussion Paper Series In Economics And Econometrics 0302, Economics Division, School of Social Sciences, University of Southampton.
    3. Andrés Rodríguez-Pose & Tobias D. Ketterer, 2012. "Do Local Amenities Affect The Appeal Of Regions In Europe For Migrants?," Journal of Regional Science, Wiley Blackwell, vol. 52(4), pages 535-561, October.
    4. Woutersen, Tiemen & Hausman, Jerry A., 2019. "Increasing the power of specification tests," Journal of Econometrics, Elsevier, vol. 211(1), pages 166-175.
    5. Carter Bloch, 2005. "R&D investment and internal finance: the cash flow effect," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(3), pages 213-223.
    6. Hausman, Jerry A., 2003. "Triangular structural model specification and estimation with application to causality," Journal of Econometrics, Elsevier, vol. 112(1), pages 107-113, January.
    7. Martin, Sheila Ann, 1992. "The effectiveness of state technology incentives: evidence from the machine tool industry," ISU General Staff Papers 1992010108000011381, Iowa State University, Department of Economics.
    8. Bouvatier, Vincent & Delatte, Anne-Laure, 2015. "Waves of international banking integration: A tale of regional differences," European Economic Review, Elsevier, vol. 80(C), pages 354-373.
    9. Soo, Kwok Tong & Elliott, Caroline, 2010. "Does price matter? Overseas students in UK higher education," Economics of Education Review, Elsevier, vol. 29(4), pages 553-565, August.
    10. Yushi Yoshida & Hiro Ito, 2006. "How Do the Asian Economies Compete With Japan in the US Market? Is China Exceptional? A Triangular Trade Approach," Asia Pacific Business Review, Taylor & Francis Journals, vol. 12(3), pages 285-307, July.
    11. Mogues, Tewodaj & Benin, Samuel, 2012. "Do External Grants to District Governments Discourage Own Revenue Generation? A Look at Local Public Finance Dynamics in Ghana," World Development, Elsevier, vol. 40(5), pages 1054-1067.
    12. Felix FitzRoy & Kornelius Kraft, 2005. "Co‐determination, Efficiency and Productivity," British Journal of Industrial Relations, London School of Economics, vol. 43(2), pages 233-247, June.
    13. Vânia G. Silva & Esmeralda A. Ramalho & Carlos R. Vieira, 2017. "The Use of Cheques in the European Union: A Cross-Country Analysis," Open Economies Review, Springer, vol. 28(3), pages 581-602, July.
    14. Jeon, Jae Sik, 2019. "How housing market responds to greenbelt relaxation: Case of Seoul Metropolitan Area, South Korea," Land Use Policy, Elsevier, vol. 84(C), pages 328-334.
    15. Chatelain, Jean-Bernard & Ralf, Kirsten, 2021. "Inference on time-invariant variables using panel data: A pretest estimator," Economic Modelling, Elsevier, vol. 97(C), pages 157-166.
    16. Badi H. Baltagi, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annals of Economics and Statistics, GENES, issue 55-56, pages 277-297.
    17. Kayode Taiwo, 2024. "The Effect of Decentralisation on Access to Sanitation and Water Services: An Empirical Test using International Data," Hacienda Pública Española / Review of Public Economics, IEF, vol. 249(2), pages 157-180, June.
    18. Jerry A. Hausman & Bart D. Ostro & David A. Wise, 1984. "Air Pollution and Lost Work," NBER Working Papers 1263, National Bureau of Economic Research, Inc.
    19. COULIBALY, Niénéyéri Mamadou, 2023. "Trade Between WAEMU And EU Countries Ante-Brexit : Lessons From A Gravity Model," MPRA Paper 119277, University Library of Munich, Germany.
    20. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2009. "Testing the fixed effects restrictions? A Monte Carlo study of Chamberlain's Minimum Chi-Squared test," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1358-1362, May.
    21. Frondel, Manuel & Vance, Colin, 2011. "Rarely enjoyed? A count data analysis of ridership in Germany's public transport," Transport Policy, Elsevier, vol. 18(2), pages 425-433, March.

    More about this item

    Keywords

    Specification tests; fuel price elasticity;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:rwirep:160. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/rwiesde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.