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.

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Can I use Hausman test to choose between first difference model and FGLS random model?

I have to make a panel regression model for my thesis but I have some problems related with the heteroschedasticity and the autocorrelation. Should I fix these problems before making the Hausman test ...
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11 views

Computing Wu-Hausman test for endogeneity without ivreg()

I am trying to understand how to compute the Wu-Hausman test manually without the need to use ivreg() function (which typically provides the diagnostics in its summary). Consider the following lines ...
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115 views

STATA multinomial logit: how to interpret mlogtest IIA test results?

I am currently using a multinomial logit model, where the dependent variable has three categories, 0, 1, and 3, and category 0 is the base case. After running mlogit...
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455 views

Fixed Effects, Random Effects, Pooled OLS: Hausman and Breusch-Pagan Lagrange multiplier (LM) tests

I have encountered that whenever deciding upon the model for panel data, it is suggested to perform the Hausman test first and the Breusch-Pagan Lagrange multiplier (LM) test should be performed only ...
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66 views

Breusch-Pagan Lagrange multiplier (LM), Hausman tests

I'm working with panel data and want to decide which model I should use: pooled OLS, Random effects, or Fixed effects. When I run the Breusch-Pagan Lagrange multiplier (LM), it says pooled OLS is ...
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13 views

Hausman test: do two datasets give significantly different estimates of the same regression?

I have an individual-level panel data and I am trying to show that the effect of X on Y in females is significantly different from the males. Since I would like to include individual fixed effects in ...
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1answer
127 views

Hausman test fails to reject the H0 (and the instrument is not weak), should I still use the 2SLS based on knowledge that the variable is endogenous?

I have two questions. I am conducting the Hausman test to check the endogeneity of a variable. If the Hausman test fails to reject the null hypothesis, there is no difference between OLS (my reference ...
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19 views

How to use Hausman Taylor instrumental variables estimator for Poisson Regression

I have a panel data. The dependent variable is a count variable, so a Poisson regression is more appropriate than a linear regression. I am aware how to use xtpoisson and xthtaylor. But xtpoisson does ...
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11 views

Correlated Random Effects - Hausman Test

What does this result mean? Test cross-section random effects Test Summary Cross-section random Chi-Sq. Statistic 0.000000 Chi-Sq. d.f. 13 Prob 1.0000
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Hausman-style test for overfitting

In econometrics, the Hausman test evaluates the consistency of an estimator when compared to an alternative, less efficient estimator which is known to be consistent. Does a similar test exist for ...
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Should a Hausman test be used to decide between fixed vs. random effects?

I was taught that a Hausman test should be used in multilevel modeling in order to check whether random effects can be used. However, I have now stumbled over several sources stating that the Hausman ...
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1answer
145 views

Intuition behind the Endogeneity Test (the Hausman Test)

Suppose we have the following simple regression model (time series framework)" $$y_1=\beta_0+\beta_1 y_2+\beta_2 z_1 +\beta_3 z_2 +u,$$ where $z_1$ and $z_2$ are exogenous and $y_2$ is either ...
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1answer
128 views

Understanding how to tell whether random effects assumption is sufficiently violated to pose a problem in practice

Consider a situation where I want to predict a binary health outcome for patients with various medical conditions, who are treated at different hospitals. I want to use patients' medical conditions as ...
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3k views

What are the differences between tests for overidentification in 2SLS

I am using 2SLS for my research and I want to test for overidentification. I started out with the Hausman test of which I have a reasonable grasp. The problem I have is that from the Hausman and the ...
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1answer
180 views

Interpretation of the Hausman test (overidentification in relation to IV's) for large samples

I am using survey data with a huge amount of observations, such as the World Value Surveys. Large sample sizes are obviously very nice, but I have have encountered some downsides as well. To give an ...
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1answer
1k views

Stata multinomial logit IIA assumption violated or not?

My dependent variable is Choice, 0 for non-issuers, 1 for seasoned equity issuers, 2 for convertible issuers and 3 for bond issuers. I use the following command to ...
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587 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 ...
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44 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 ...
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1answer
245 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".
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1answer
250 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 ...
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26 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. ...
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166 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 ...
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1answer
862 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 ...
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1k 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 ...
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5k 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,...
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257 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 ...
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51 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 ...
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112 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 ...
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1answer
624 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 ...
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1k 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 ...
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1answer
602 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 ...
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1answer
17k 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 ...
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1answer
8k views

How to interpret hausman test results?

I'm trying to do 2 stage least squares regression in python using the statsmodels library. ...
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232 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 ...
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3k 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 ...
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1answer
252 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 ...
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265 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 ...
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1answer
1k 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 ...
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619 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 ...
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1answer
731 views

How to implement panel data models?

I would like to implement fixed effects vs. random effects logit models using a ...
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1answer
311 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 ...
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335 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, ...
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1answer
1k 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?
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1answer
2k 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 ...
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1answer
3k 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: ...
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1answer
25k 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 ...
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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 ...
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1answer
980 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 ...
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2answers
4k 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 ...
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1answer
845 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 ...