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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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 ...
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880 views

Mixed thoughts about the Durbin-Wu-Hausman Test. Is it really feasible?

I just studied (again) some statements of the Durbin-Wu-Hausman (DWH) test. After I thought about the theory behind the DWH test, is it not basically kind of useless since I cannot tell if there's ...
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1answer
655 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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451 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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981 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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540 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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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 ...
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319 views

When is OLS estimation bias due to endogeneity negligible?

I have a question about OLS estimation bias due to endogeneity. Say I have the following panel regression model for the price of good 1 for a particular sale $k$ at time $t$: $$P_{kt}^1=\beta M_{t} + ...
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162 views

Testing endogeneity against decision probability

I am working with a model where the literature suggests there is potential endogeneity between the dependent variable and the primary independent variable of interest (a binary treatment). However, ...
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42 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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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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933 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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1answer
3k 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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207 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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48 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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111 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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264 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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310 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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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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3k views

Hausman test VS Mundlak model; the choice between fixed and random effects

I am using panel data and I have to choose between fixed-effects and random-effects models. I run the Hausman test, the H0 (i.e., the difference in the coefficients from the two models is not ...
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1k views

Question about Hausman-test for endogeneity with two endogenous regressors with potential heteroscedasticity

First question: Is the following example of computing the Hausman-test for endogeneity with two endogenous regressors adequate? Second question: Is it true that in case of heteroscedasticity, i.e. I'...
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1answer
245 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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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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33 views

Interpretation of Hausman test - IV models

I ran two IV models: 1) ivreg 2sls y x1 (x2=z1) 2) ivreg 2sls y x1 (x2=z1 z2) than I did a Hausman test, and it was not significant, so I could not reject the null. What does that mean? Is z2 a valid ...