The impact of a Hausman pretest on the size of a hypothesis test: the panel data case

DOI10.1016/j.jeconom.2009.11.003zbMath1431.62076OpenAlexW1992972735MaRDI QIDQ530953

Patrik Guggenberger

Publication date: 1 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.11.003

zbMATH Keywords

panel datasize distortionpretestHausman specification testfixed effects estimationrandom effects estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Related Items (12)

A Stein-like estimator for linear panel data models ⋮ Conditional assessment of the impact of a Hausman pretest on confidence intervals ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ An alternative to confidence intervals constructed after a Hausman pretest in panel data ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ Correlated random effects models with unbalanced panels ⋮ On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity ⋮ Shrinkage estimation of panel data models with interactive effects ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results

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• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Hybrid and Size-Corrected Subsampling Methods
• Panel Data and Unobservable Individual Effects
• Specification Tests in Econometrics
• Useful matrix transformations for panel data analysis: a survey
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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