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| 時間変動パラメータ・ハウスマン検定× | ハウスマンの仕様検定（固定効果モデル vs. 混合効果モデル）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1978 (Hausman); TVP extension developed through 1980s–2000s | 1978 |
| 提唱者≠ | Hausman (1978) specification test framework extended to time-varying parameter settings | Jerry A. Hausman |
| 種類≠ | Specification / endogeneity test | Specification test for panel data models |
| 原典≠ | Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271. DOI ↗ | Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271. DOI ↗ |
| 別名 | TVP Hausman test, time-varying Hausman specification test, Hausman test with time-varying parameters, TVP endogeneity test | Hausman specification test, FE vs RE test, Durbin-Wu-Hausman test, Hausman Spesifikasyon Testi (FE vs RE) |
| 関連≠ | 3 | 5 |
| 概要≠ | The time-varying parameter Hausman test extends Hausman's (1978) classic specification test to models whose coefficients are allowed to evolve over time. It compares an efficient estimator (e.g., OLS or GLS assuming constant parameters) with a consistent estimator from a time-varying parameter model, using the contrast between them to detect parameter instability or endogeneity in dynamic settings. | 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. |
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