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Test specyfikacji Hausmana (FE vs RE)×Estymator FMOLS (Fully Modified OLS)×Model efektów stałych dla danych panelowych×
DziedzinaEkonometriaEkonometriaEkonometria
RodzinaRegression modelRegression modelRegression model
Rok powstania197819902014
TwórcaJerry A. HausmanPhillips & Hansen (time series); Pedroni (heterogeneous panels)Hsiao (textbook treatment); within transformation of panel data
TypSpecification test for panel data modelsCointegrating regression estimatorPanel data regression
Źródło pierwotneHausman, 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 ↗Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗
Inne nazwyHausman 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)fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli
Pokrewne555
PodsumowanieThe 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.The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014).
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