Questions tagged [hausman]

The Hausman test can be used to choose between two estimators where one is less efficient but consistent under both alternatives whereas the other is more efficient but only consistent under the null hypothesis.

Filter by
Sorted by
Tagged with
1
vote
0answers
9 views

Hausman Test when doing Fixed Effects Panel Regression

I'm currently doing a Fixed Effects panel regression on my data and would like to know whether it would be useful to carry out Hausman tests. From what I understood from lectures, the Hausman test ...
0
votes
0answers
13 views

Hausman test statistic - to multiply or not to multiply by n

I am having some serious doubts regarding the formula of the Hausman statistic for the case in which I compare OLS and IV estimates. I am getting confused with what my references are giving me. What ...
0
votes
0answers
11 views

Interpreting Durbin–Wu–Hausman test with large sample size

I'm trying to determine whether to use random-effects or fixed-effects. The Durbin–Wu–Hausman is significant which suggests that fixed-effects are more appropriate. However, looking at the details, ...
0
votes
0answers
10 views

Hausman test problem

I am doing a gravity model analysis using panel data. I got nice results from RE but a Hausman test suggests that FE is the appropriate model. But the FE model has omitted one of my most important ...
0
votes
0answers
32 views

The Durbin-Wu-Hausman test and its interpretation

I'm currently working out the interpretation of a Durbin-Wu-Hausman test. I have a linear regression which regresses the body mass index of an individual, "BMI", on different variables such as the ...
0
votes
0answers
8 views

overidentification test

Dears, i have to run overidentification test using ivreg. the summary gave me this result: Diagnostic tests: df1 df2 statistic p-value Weak instruments 1 45 45.158 2.65e-08 **...
0
votes
0answers
19 views

Panel data regression - normality and testing issues

Im doing an event study using panel data regression with abnormal returns for 15 events and 38 stocks as the dependent variable, and different multiples (P/E, B/M etc.) as the independent variable. I ...
2
votes
0answers
162 views

Hausman test showing different results between R and Stata

I ran a Hausman test to compare random and fixed effects regression for a panel dataset in both R and Stata and found that the two are showing different results. The troubling thing is that the Stata ...
1
vote
0answers
31 views

Random effect vs. fixed effect with a huge amount of dummies

I am interested in examining inventor features on their inventive performance using patent data. I have an unbalanced panel data of 7000 inventor-year observations on 3000 inventors over 15 years ...
1
vote
1answer
79 views

hausman test for exogenity

Can someone explain the intuition behind the Haussman test for exogenity and the equation for H. what does it mean, that "it is normalised by the covariance of the difference".
1
vote
1answer
60 views

Can I report fixed and random effects outcomes in one paper?

I am a health economist working with panel data for a paper I am working on, I use Hausman tests to determine if I should use fixed or random effects estimators in my analysis, for some outcomes ...
1
vote
0answers
24 views

Questions about Endogeneity and IVs

I am doing the returns of education on earnings. I have education (number of years of edu) as my endogenous variable and I am using Father Education as an instrument. I am using SAS and I ran a 2sls. ...
0
votes
1answer
122 views

intuition/explanation for “Hausman's result”?

Greene (econometric analysis p. 235 7th ed) discusses the Hausman test (test for whether the OLS is consistent). Greene states: Probably, Greene believes that Hausman's technical statement of ...
1
vote
1answer
585 views

Panel data: fixed individual and random time effect

I am currently working with panel data. So far, I specified a fixed effects model with two fixed effects: firm fixed effects (I'm working with company data) and time fixed effects. After performing ...
1
vote
0answers
727 views

Two-ways random effects with unbalanced panel data in R

I am currently working with a panel data set in R. So far I specified a fixed effects model with two fixed effects (company/individual and time). Now I want to justify my choice by performing Hausman ...
1
vote
1answer
953 views

interpretation of Hausman test results

I used Hausman test in R in order to decide whether I should use fixed effects or random effects model. This is the result I got: Hausman Test data: Deviation ~ Concentration chisq = 1.721, df = 1,...
1
vote
0answers
144 views

Hausman test after including lags in my regression - different results?

I have a panel data set with a count variable as my dependent variable. Consequently, I am now trying to identify whether I need to use a Poisson or negative binomial regression model and whether to ...
1
vote
0answers
46 views

Robust fixed model

I have a question when I apply fixed and random model, then hausman test, the results show that the appropriate one is fixed model based on hausman test, then I want to check the heterocedasticity for ...
1
vote
0answers
107 views

Question about correcting for endogeneity with an instrumental variable and Hausman test

I have the following simple regression outcome model: Y = b0 + b1*X + e, with X being potentially correlated with e. I have an instrumental variable Z correlated with X and assumed not correlated with ...
2
votes
1answer
367 views

Why the Covariance between efficient and inefficient estimator is equal to variance of the efficient one in Hausman test?

I tried to prove Hausman test for two estimators efficient and inefficient one. Then I encountered with the statement for variance of two estimators saying that: Covariance between the efficient ...
2
votes
0answers
772 views

Fixed or Random model: hausman, xtoverid, Mundlak approach all giving different answers in stata

I have panel data. When I use the Hausman test to decide on a fixed vs random model, I get an note saying that: "the rank of the differenced variance matrix (8) does not equal the number of ...
0
votes
1answer
406 views

What test can be applied to Fixed Effect, Random Effect and Pooled OLS models?

I am trying to see what model performs best. I am considering the Hausman test to see which model is the most stable out of the three. However, I am not sure what exactly my null hypothesis should be ...
4
votes
1answer
4k views

Hausman Test interpretation is based on the p-value? - R output

I obtained the following output after running the Hausman test: 1) CASE 1 Hausman Test chisq = 13.943, df = 4, p-value = 0.007478 alternative hypothesis: one model is inconsistent 2) CASE 2 Hausman ...
0
votes
1answer
4k views

How to interpret hausman test results?

I'm trying to do 2 stage least squares regression in python using the statsmodels library. ...
1
vote
1answer
162 views

Hausman test for models with different regressors

I want to know if I can run a Hausman test for Random Effects and First-Difference models with different regressors? For Example: MODre = X + Y + Z MODfd = X + Y + C Where X, Y, Z, C are some ...
4
votes
1answer
2k views

Hausman test - Theory and generalizations

Hausman test is used to compare two estimators which are both consistent under the null hypothesis but one is less efficient than the other. During my course of Econometrics, I have found that ...
1
vote
1answer
221 views

Appropriate Instruments

My model is: $$Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\beta_4X_4.$$ I want to check if 'weather' (not included in the above model) is an appropriate instrument. $X_1$ represents price. If I ...
1
vote
0answers
239 views

Two-way model estimation

I have a model with 2-way fixed effects and panel data. $$y_{it}=\alpha_i+\delta_t+\beta X_{it}+ \theta D.$$ The coefficient of interest is $\theta$. (D is time dummy). I can estimate the model with ...
1
vote
1answer
821 views

IV regression, endogeniety and Wu-hausman question

We have the model: $HOURS = \beta_1 + \beta_2 ln(WAGE) + \beta_3EDUC+ \beta_4AGE + \beta_5KIDSL6 + \beta_6KIDSL618 + \beta_7NWIFEINC + e$ Does anyone know why using some variables as instruments ...
2
votes
0answers
392 views

Do I have to include year dummies in Hausman test?

Jeffrey Wooldridge (2010) in his book "Econometric analysis of cross section and panel data" says "To summarize, we can estimate models that include aggregate time effects, time constant ...
3
votes
1answer
543 views

How to implement panel data models?

I would like to implement fixed effects vs. random effects logit models using a ...
0
votes
1answer
219 views

Random or Fixed Effects

I am analysing purchasing behaviour using a negative binomial regression. I observe different products over several days, products differ in their popularity, there is no observable characteristic for ...
1
vote
0answers
276 views

Hausman test include or exclude time invariant variables? Favoring a random or a fixed effect model?

I analyse purchase decisions on different products j over a duration of t days. I would like to include random or fixed effects. When I run a Hausman test and include only the time variant variables, ...
1
vote
1answer
934 views

Hausman test for 2SLS vs 3SLS

Can we do a Hausman test for 2SLS vs 3SLS? I know that we can do a BP test for the cross-equation correlation of errors, but what should the null and alternative hypotheses of a Hausman test be?
1
vote
1answer
1k views

Procedure for the cluster-robust Hausman test

The Hausman test cannot be run on robust std. errors we have separately make the FE and RE standard errors robust to serial correlation and heteroskedasticity by clustered standard errors. So, is ...
1
vote
1answer
2k views

Hausman test for panel data

I am performing a Hausman test to decide whether to use fixed effects or random effects model. The results I get are as follows: ...
6
votes
1answer
16k views

Interpretation of ivreg() diagnostics in R

I'm trying to wrap my head around interpreting the diagnostics of the ivreg() command in R, from the {AER} package. Running the example code provided in the help ...
1
vote
0answers
2k views

Panel data with N < T heteroscedasticity and autocorrelation. Should I include country dummies?

I have panel data of $N=18$ countries with $T=72$ months. Heteroskedasticity and autocorrelation are present in the dataset. I was working in Stata with xtreg fixed ...
4
votes
1answer
726 views

Hausman test FE vs. RE in case that FE is not consistent

I have a twin panel data and want to estimate simple wage equation (interest in return to education). I use fixed effects(first differencing) to account for family background.(Based on: Ashenfelter ...
3
votes
2answers
3k views

Time-invariant variables not being removed in Fixed Effects model. And feasibility of addional time dummies in Fixed Effect/Random modelling

I am working with severely unbalanced Panel Data of a nations Fisheries where I have individual data from all deliveries made by every single vessel. Thus far I have reshaped the data so that every ...
8
votes
1answer
719 views

How to use the Hausman test for gender discrimination?

I am trying to estimate the gender wage gap for male and female office workers in a large Swedish company to test whether there is gender discrimination. The Hausman test rejects the null that the ...
1
vote
1answer
3k views

Hausman test after xtregar negative chi2

I'm performing a Hausman test on panel data to determine whether to choose Random Effects or Fixed Effects for my analysis with AR(1). After performing the test I get a negative $\chi^2$ statistic ...
2
votes
0answers
1k views

Fixed or Random: Hausman test plm vs LRT lmer, Which is the best approach to decide to use random effect?

I have an unbalanced panel data and would like to know which method is better for estimation if I want to capture the heterogeneity of the sample using the plm package or lme4. The sample have year ...
3
votes
0answers
124 views

Hausman test for quantile regressions

I would like to know whether I can compare instrumental variables quantile estimates, for instance using the the Chernozhukov and Hansen (2006) IVQR estimator (or quantile regression with fixed ...
2
votes
1answer
3k views

IV-RE xtoverid testing both IV validity and RE vs FE?

I am running an xtivreg, re and an xtoverid afterwards. My understanding of the help file and what I found online is that ...
1
vote
1answer
909 views

IV and Exogeneity Tests

Read something about the Hausman test that didn't sound right in some grad course handout online. It stated that the Hausman null of OLS and IV not being statistically different, if not rejected, ...
2
votes
1answer
13k views

How accurate is F test in panel data

I heard that the F-test is to advice you whether to use fixed effects or pooled OLS. However, I didn't find any details about it in books. Only in a very few studies. What is the hypothesis of the ...
2
votes
1answer
632 views

Hausman's test for all $\beta$s – comparing FE vs RE models

I fit several two level models in SAS using PROC MIXED: an empty model with multilevel structure (null), a model with a level 2 covariate (partial model), and a ...
5
votes
1answer
3k views

Serial correlation: estimation vs robust SE

We have route-level data (that I cannot share) on monthly bus ridership in New York City, creating a panel $N= 185$, $T=36$. We estimate a fixed effects model and random effects model with R's ...
4
votes
1answer
1k views

Hausman test for Independence of Irrelevant Alternatives (IIA), negative value

I get a negative value for the Hausman test for the independence of irrelevant alternatives (IIA) assumption. Now I find contradicting conclusions in the literature: some people say that I should take ...