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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