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

DOI10.1016/j.jeconom.2009.11.003zbMath1431.62076MaRDI 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 data; size distortion; pretest; Hausman specification test; fixed effects estimation; random effects estimation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F05: Asymptotic properties of parametric tests

Related Items

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

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