Advanced Search
MyIDEAS: Login

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

Contents:

Author Info

  • Guggenberger, Patrik
Registered author(s):

    Abstract

    The size properties of a two-stage test in a panel data model are investigated where in the first stage a Hausman (1978) specification test is used as a pretest of the random effects specification and in the second stage, a simple hypothesis about a component of the parameter vector is tested, using a t-statistic that is based on either the random effects or the fixed effects estimator depending on the outcome of the Hausman pretest. It is shown that the asymptotic size of the two-stage test equals 1 for empirically relevant specifications of the parameter space. The size distortion is caused mainly by the poor power properties of the pretest. Given these results, we recommend using a t-statistic based on the fixed effects estimator instead of the two-stage procedure.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6VC0-4XPYXP0-1/2/aaf60abbb612a4ad5b778b92479d0c19
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 156 (2010)
    Issue (Month): 2 (June)
    Pages: 337-343

    as in new window
    Handle: RePEc:eee:econom:v:156:y:2010:i:2:p:337-343

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/jeconom

    Related research

    Keywords: Fixed effects estimation Hausman specification test Panel data Pretest Random effects estimation Size distortion;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Hsiao,Cheng, 2003. "Analysis of Panel Data," Cambridge Books, Cambridge University Press, number 9780521818551, October.
    2. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2003. "Fixed effects, random effects or Hausman-Taylor?: A pretest estimator," Economics Letters, Elsevier, vol. 79(3), pages 361-369, June.
    3. Abhijit Banerjee & Lakshmi Iyer, 2010. "History Institutions and Economic Performance: The Legacy of Colonial Land Tenure Systems in India," Working Papers id:2811, eSocialSciences.
    4. Donald W. K. Andrews & Patrik Guggenberger, 2009. "Hybrid and Size-Corrected Subsampling Methods," Econometrica, Econometric Society, vol. 77(3), pages 721-762, 05.
    5. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
    6. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.
    7. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
    8. Kelly Bedard & Olivier Desch�nes, 2006. "The Long-Term Impact of Military Service on Health: Evidence from World War II and Korean War Veterans," American Economic Review, American Economic Association, vol. 96(1), pages 176-194, March.
    9. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-98, November.
    10. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
    11. Martin Gaynor & Harald Seider & William B. Vogt, 2005. "The Volume–Outcome Effect, Scale Economies, and Learning-by-Doing," American Economic Review, American Economic Association, vol. 95(2), pages 243-247, May.
    12. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    13. W. David Bradford, 2003. "Pregnancy and the Demand for Cigarettes," American Economic Review, American Economic Association, vol. 93(5), pages 1752-1763, December.
    14. Owusu-Gyapong, Anthony, 1986. "Alternative Estimating Techniques for Panel Data on Strike Activity," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 526-31, August.
    15. Justine S. Hastings, 2004. "Vertical Relationships and Competition in Retail Gasoline Markets: Empirical Evidence from Contract Changes in Southern California," American Economic Review, American Economic Association, vol. 94(1), pages 317-328, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski , Oskar & Kozlowski , Lukasz, 2013. "Market discipline during crisis: Evidence from bank depositors in transition countries," BOFIT Discussion Papers 21/2013, Bank of Finland, Institute for Economies in Transition.
    2. Nicholas King & P. Dorian Owen & Rick Audas, 2012. "Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches," The Economic Record, The Economic Society of Australia, vol. 88(281), pages 262-277, 06.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:156:y:2010:i:2:p:337-343. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.