Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Байесовский тест Хаусмана× | Байесовский анализ панельных данных× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1978 (classical); Bayesian adaptations 1990s–2000s | 1971–1999 |
| Автор метода≠ | Bayesian reformulation of Hausman (1978); developed across Bayesian econometrics literature | Zellner (1971); Hsiao, Pesaran, and Tahmiscioglu (1999) |
| Тип≠ | Specification test / model comparison | Bayesian estimation for panel data |
| Основополагающий источник≠ | Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. DOI ↗ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 |
| Другие названия | Bayesian specification test, Bayesian endogeneity test, Bayesian FE vs RE test, Bayesian Durbin-Wu-Hausman | Bayesian panel model, Bayesian longitudinal model, hierarchical panel model, Bayesian multilevel panel |
| Связанные | 5 | 5 |
| Сводка≠ | The Bayesian Hausman test is a Bayesian reformulation of Hausman's (1978) classical specification test, used to assess endogeneity or to choose between fixed effects and random effects panel models. Instead of a chi-squared test statistic, it uses posterior model probabilities or Bayes factors to compare competing specifications, fully incorporating prior uncertainty about model parameters. | Bayesian panel data analysis applies Bayesian inference to models with repeated observations on multiple units. By placing prior distributions on coefficients and variance components, it merges prior knowledge with the observed panel likelihood to produce full posterior distributions for fixed or random effects, slope heterogeneity, and variance parameters — rather than point estimates and asymptotic standard errors. |
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