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Test of random versus fixed effects with small within variation

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  • Hahn, Jinyong
  • Ham, John
  • Moon, Hyungsik Roger

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.

Suggested Citation

  • Hahn, Jinyong & Ham, John & Moon, Hyungsik Roger, 2011. "Test of random versus fixed effects with small within variation," Economics Letters, Elsevier, vol. 112(3), pages 293-297, September.
    • Handle: RePEc:eee:ecolet:v:112:y:2011:i:3:p:293-297
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    References listed on IDEAS

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    1. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    2. Jerry Hausman, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. Kearney, Melissa Schettini, 2005. "State lotteries and consumer behavior," Journal of Public Economics, Elsevier, vol. 89(11-12), pages 2269-2299, December.
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    Cited by:

    1. Joseph L Dieleman & Tara Templin, 2014. "Random-Effects, Fixed-Effects and the within-between Specification for Clustered Data in Observational Health Studies: A Simulation Study," PLOS ONE, Public Library of Science, vol. 9(10), pages 1-17, October.
    2. Stefan Schmid & Felix Roedder, 2022. "Much ado about diversity? The perpetuation of old elites on corporate boards," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 3263-3285, December.
    3. Ginesti, Gianluca & Campa, Domenico, 2025. "Corporate social responsibility board committee and tax disclosure," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 59(C).
    4. Wang, Yun & Zhang, Yonghui & Zhou, Qiankun, 2016. "A Stein-like estimator for linear panel data models," Economics Letters, Elsevier, vol. 141(C), pages 156-161.

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