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Fixed, Random, or Something in Between? – A Variant of HAUSMAN’s Specifi cation Test for Panel Data Estimators

  • Manuel Frondel

    ()

  • Colin Vance

This paper proposes a variant of the classical HAUSMAN specifi cation test commonly employed to decide whether the estimation of a random-eff ects model is a viable alternative to estimating fi xed eff ects. Whereas the classical test probes the equality of fi xed- and random eff ects, the proposed variant focuses on the equality of between-groups and fi xed-eff ects coeffi cients. While both test procedures lead to the same conclusions, the panel model specifi cation underlying our testing strategy facilitates the simultaneous estimation of the fi xed- and between-groups eff ects. As a consequence, we are able to examine both the equality of the whole range of coeffi cients as well as that of individual variables. The usefulness of the test is illustrated using a panel of household travel data for Germany.

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Paper provided by Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen in its series Ruhr Economic Papers with number 0160.

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Length: 12 pages
Date of creation: Jan 2010
Date of revision:
Handle: RePEc:rwi:repape:0160
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  1. Manuel Frondel & Jörg Peters & Colin Vance, 2007. "Identifying the Rebound - Evidence from a German Household Panel," Ruhr Economic Papers 0032, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  2. Manuel Frondel & Colin Vance, 2009. "Do High Oil Prices Matter? Evidence on the Mobility Behavior of German Households," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 43(1), pages 81-94, May.
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