Test of random versus fixed effects with small within variation

Jinyong Hahn; John Ham; Hyungsik Roger Moon

doi:10.1016/j.econlet.2011.05.018

Test of random versus fixed effects with small within variation

Jinyong Hahn, John Ham, Hyungsik Roger Moon

Economics

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	293-297
Number of pages	5
Journal	Economics Letters
Volume	112
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.05.018
State	Published - Sep 2011

Keywords

Bootstrap
Hausman test
Within variation

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.05.018

Cite this

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title = "Test of random versus fixed effects with small within variation",

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.",

keywords = "Bootstrap, Hausman test, Within variation",

author = "Jinyong Hahn and John Ham and Moon, {Hyungsik Roger}",

year = "2011",

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doi = "10.1016/j.econlet.2011.05.018",

language = "English (US)",

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AU - Ham, John

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KW - Bootstrap

KW - Hausman test

KW - Within variation

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Test of random versus fixed effects with small within variation

Abstract

Keywords

ASJC Scopus subject areas

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