方法对比
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| 稳健固定效应模型× | 面板 Hausman 检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1987 | 1978 |
| 提出者≠ | Manuel Arellano | Jerry A. Hausman |
| 类型≠ | Panel regression with robust inference | Specification test |
| 开创性文献≠ | Arellano, M. (1987). Computing robust standard errors for within-groups estimators. Oxford Bulletin of Economics and Statistics, 49(4), 431–434. link ↗ | Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. DOI ↗ |
| 别名 | FE with robust standard errors, cluster-robust fixed effects, fixed effects with heteroscedasticity-robust SE, within estimator with robust inference | Hausman endogeneity test, Wu-Hausman test, fixed-vs-random effects test, Hausman chi-squared test |
| 相关 | 5 | 5 |
| 摘要≠ | The robust fixed effects model combines the within-group estimator for panel data with variance-covariance matrices that remain valid under heteroscedasticity and within-unit error correlation. Introduced by Arellano (1987), cluster-robust standard errors paired with the fixed effects estimator are now the default approach for credible panel data inference in economics and social science. | The Hausman specification test for panel data determines whether individual-specific effects are correlated with the regressors — a correlation that would make the random effects estimator inconsistent. A statistically significant result favours the fixed effects model; a non-significant result supports the more efficient random effects model. |
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