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The multidimensional Mundlak estimator

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  • Baltagi, Badi H.

Abstract

Mundlak (1978) shows that the fixed effects estimator is equivalent to the random effects estimator in the one-way error component model once the random individual effects are modeled as a linear function of all the averaged regressors over time. In the spirit of Mundlak, this paper shows that this result also holds for the multidimensional error component model. This is a generalization of Baltagi (2023) from the two-way Mundlak model to higher order multidimensional error components model, see Balazsi et al. (2024a) for the multidimensional fixed effects model and Balazsi et al. (2024b) for the multidimensional random effects model. The F test suggested by Mundlak (1978) to test for this correlation between the random effects and the regressors generate Hausman (1978) type tests that are easily generalizable to the multi-dimensional Mundlak regression.

Suggested Citation

  • Baltagi, Badi H., 2024. "The multidimensional Mundlak estimator," Economics Letters, Elsevier, vol. 236(C).
    • Handle: RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000909
    DOI: 10.1016/j.econlet.2024.111607
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    References listed on IDEAS

    as
    1. Badi H. Baltagi, 2023. "The two-way Mundlak estimator," Econometric Reviews, Taylor & Francis Journals, vol. 42(2), pages 240-246, February.
    2. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    3. Kang, Suk, 1985. "A note on the equivalence of specification tests in the two-factor multivariate variance components model," Journal of Econometrics, Elsevier, vol. 28(2), pages 193-203, May.
    4. Badi H. Baltagi, 1987. "On Estimating from a More General Time-Series Cum Cross-Section Data Structure," The American Economist, Sage Publications, vol. 31(2), pages 69-71, October.
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    More about this item

    Keywords

    Mundlak regression; Panel data; Fixed and random effects; Multidimensional error components model; Hausman test;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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