Hausman Test for Panel Models
Specification test for panel models.
phtest(x, ...) ## S3 method for class 'formula' phtest( x, data, model = c("within", "random"), method = c("chisq", "aux"), index = NULL, vcov = NULL, ... ) ## S3 method for class 'panelmodel' phtest(x, x2, ...)
x |
an object of class |
... |
further arguments to be passed on. For the formula method,
place argument |
data |
a |
model |
a character vector containing the names of two models (length(model) must be 2), |
method |
one of |
index |
an optional vector of index variables, |
vcov |
an optional covariance function, |
x2 |
an object of class |
The Hausman test (sometimes also called Durbin–Wu–Hausman test)
is based on the difference of the vectors of coefficients of two
different models. The panelmodel
method computes the original
version of the test based on a quadratic form
(Hausman 1978). The formula
method, if
method="chisq"
(default), computes the original version of the
test based on a quadratic form; if method="aux"
then the
auxiliary-regression-based version in Wooldridge (2010,
Sec. 10.7.3.) is computed instead (WOOL:10 Sec.10.7.3).
Only the latter can be robustified by specifying a robust
covariance estimator as a function through the argument vcov
(see
Examples).
The equivalent tests in the one-way case using a between
model (either "within vs. between" or "random vs. between")
(see Hausman and Taylor 1981 or Baltagi 2013 Sec.4.3) can also
be performed by phtest
, but only for test = "chisq"
, not for
the regression-based test. NB: These equivalent tests using the
between model do not extend to the two-ways case. There are,
however, some other equivalent tests,
(see Kang 1985 or Baltagi 2013 Sec.4.3.7),
but those are unsupported by phtest
.
An object of class "htest"
.
Yves Croissant, Giovanni Millo
Hausman JA (1978). “Specification Tests in Econometrics.” Econometrica, 46, 1251–1271.
Hausman JA, Taylor WE (1981). “Panel Data and Unobservable Individual Effects.” Econometrica, 49, 1377–1398.
Kang S (1985). “A note on the equivalence of specification tests in the two-factor multivariate variance components model.” Journal of Econometrics, 28(2), 193–203. ISSN 0304-4076, https://www.sciencedirect.com/science/article/pii/0304407685901198.
Wooldridge JM (2010). Econometric Analysis of Cross–Section and Panel Data. MIT press.
Baltagi BH (2013). Econometric Analysis of Panel Data, 5th edition. John Wiley and Sons ltd.
data("Gasoline", package = "plm") form <- lgaspcar ~ lincomep + lrpmg + lcarpcap wi <- plm(form, data = Gasoline, model = "within") re <- plm(form, data = Gasoline, model = "random") phtest(wi, re) phtest(form, data = Gasoline) phtest(form, data = Gasoline, method = "aux") # robust Hausman test (regression-based) phtest(form, data = Gasoline, method = "aux", vcov = vcovHC) # robust Hausman test with vcov supplied as a # function and additional parameters phtest(form, data = Gasoline, method = "aux", vcov = function(x) vcovHC(x, method="white2", type="HC3"))
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