Test of random versus fixed effects with small within variation

Jinyong Hahn; John Ham; Hyungsik Roger Moon

doi:10.1016/j.econlet.2011.05.018

Test of random versus fixed effects with small within variation

Jinyong Hahn, John Ham, Hyungsik Roger Moon

Department of Economics

Research output: Contribution to journal › Article › peer-review

13 Citations (Scopus)

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.

Original language	English
Pages (from-to)	293-297
Number of pages	5
Journal	Economics Letters
Volume	112
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.05.018
Publication status	Published - 2011 Sept

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.05.018

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title = "Test of random versus fixed effects with small within variation",

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.",

author = "Jinyong Hahn and John Ham and Moon, {Hyungsik Roger}",

year = "2011",

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AU - Moon, Hyungsik Roger

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JO - Economics Letters

JF - Economics Letters

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Test of random versus fixed effects with small within variation

Abstract

All Science Journal Classification (ASJC) codes

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