Regression modelEconometrics / time series
Panel Hausman Test
The Hausman specification test for panel data determines whether individual-specific effects are correlated with the regressors — a correlation that would make the random effects estimator inconsistent. A statistically significant result favours the fixed effects model; a non-significant result supports the more efficient random effects model.
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Sources
- Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. DOI: 10.2307/1913827 ↗
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586
Related methods
Referenced by
Bayesian Hausman TestBayesian Panel Data AnalysisFixed Effects ModelPanel Data AnalysisPanel Fixed Effects ModelPanel OLSPanel Random Effects ModelRobust Fixed Effects ModelRobust Panel Data AnalysisRobust Random Effects ModelStructural Break Fixed Effects ModelStructural Break Hausman TestStructural Break Random Effects Model