Võrdle meetodeid
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| Hausman-i spetsifitseerimistest (FE vs RE)× | Paneelkointegratsioonitestid (Pedroni, Kao, Westerlund)× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1978 | 2004 |
| Looja≠ | Jerry A. Hausman | Pedroni; Kao; Westerlund |
| Tüüp≠ | Specification test for panel data models | Panel cointegration test |
| Algallikas≠ | Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271. DOI ↗ | Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI ↗ |
| Rööpnimetused≠ | Hausman specification test, FE vs RE test, Durbin-Wu-Hausman test, Hausman Spesifikasyon Testi (FE vs RE) | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Seotud≠ | 5 | 3 |
| Kokkuvõte≠ | The Hausman test is a specification test, introduced by Jerry A. Hausman in 1978, that decides between the fixed-effects (FE) and random-effects (RE) estimators in panel data models. The null hypothesis is that the random-effects estimator is consistent and efficient and should be preferred; the alternative is that random effects is inconsistent and fixed effects is required because the unit-specific effects are correlated with the explanatory variables. | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
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