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A correlated random effects approach to the estimation of models with multiple fixed effects

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  • Yang, Yimin

Abstract

This paper generalizes two important equivalence results in one-way panel models to models with multiple fixed effects. (1) We show that the correlated random effects estimator obtained via the use of the Mundlak device is identical to the fixed effects estimator. (2) A weighted variable addition test is shown to be equivalent to the fully robust Hausman specification test.

Suggested Citation

  • Yang, Yimin, 2022. "A correlated random effects approach to the estimation of models with multiple fixed effects," Economics Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000763
    DOI: 10.1016/j.econlet.2022.110408
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    References listed on IDEAS

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    More about this item

    Keywords

    Correlated random effects; Hausman test; Multiple fixed effects;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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