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 language | English (US) |
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Pages (from-to) | 293-297 |
Number of pages | 5 |
Journal | Economics Letters |
Volume | 112 |
Issue number | 3 |
DOIs | |
State | Published - Sep 1 2011 |
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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 journal › Article
}
TY - JOUR
T1 - Test of random versus fixed effects with small within variation
AU - Hahn, Jinyong
AU - Ham, John
AU - Moon, Hyungsik Roger
PY - 2011/9/1
Y1 - 2011/9/1
N2 - 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.
AB - 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.
KW - Bootstrap
KW - Hausman test
KW - Within variation
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UR - http://www.scopus.com/inward/citedby.url?scp=79959652615&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2011.05.018
DO - 10.1016/j.econlet.2011.05.018
M3 - Article
AN - SCOPUS:79959652615
VL - 112
SP - 293
EP - 297
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 3
ER -