Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test de spécification de Hausman (FE vs RE)× | Estimateur FMOLS (Fully Modified OLS)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1978 | 1990 |
| Auteur d'origine≠ | Jerry A. Hausman | Phillips & Hansen (time series); Pedroni (heterogeneous panels) |
| Type≠ | Specification test for panel data models | Cointegrating regression estimator |
| Source fondatrice≠ | Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271. DOI ↗ | Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125. DOI ↗ |
| Alias≠ | Hausman specification test, FE vs RE test, Durbin-Wu-Hausman test, Hausman Spesifikasyon Testi (FE vs RE) | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) |
| Apparentées | 5 | 5 |
| Résumé≠ | 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. | Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data. |
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