Test of random versus fixed effects with small within variation

Jinyong Hahn, John Ham, Hyungsik Roger Moon

    Research output: Contribution to journalArticle

    Abstract

    Comparisons of within and between estimators using the conventional Hausman test may be subject to statistical problems if the within variation is not sufficiently large. Adopting an alternative asymptotic approximation, we propose a modification of Hausman test that is valid whether the within variation is small or large.

    Original languageEnglish (US)
    Pages (from-to)293-297
    Number of pages5
    JournalEconomics Letters
    Volume112
    Issue number3
    DOIs
    StatePublished - Sep 1 2011

    Fingerprint

    Fixed effects
    Hausman test
    Estimator
    Approximation

    Keywords

    • Bootstrap
    • Hausman test
    • Within variation

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

    Cite this

    Test of random versus fixed effects with small within variation. / Hahn, Jinyong; Ham, John; Moon, Hyungsik Roger.

    In: Economics Letters, Vol. 112, No. 3, 01.09.2011, p. 293-297.

    Research output: Contribution to journalArticle

    Hahn, Jinyong ; Ham, John ; Moon, Hyungsik Roger. / Test of random versus fixed effects with small within variation. In: Economics Letters. 2011 ; Vol. 112, No. 3. pp. 293-297.
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