Test of random versus fixed effects with small within variation

Jinyong Hahn, John Ham, Hyungsik Roger Moon

Research output: Contribution to journalArticlepeer-review

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 2011

Keywords

  • Bootstrap
  • Hausman test
  • Within variation

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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