Fixed vs random

The Hausman test four decades later

Shahram Amini, Michael S. Delgado, Daniel J. Henderson, Christopher Parmeter

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

Abstract

Hausman (1978) represented a tectonic shift in inference related to the specification of econometric models. The seminal insight that one could compare two models which were both consistent under the null spawned a test which was both simple and powerful. The so-called Hausman test has been applied and extended theoretically in a variety of econometric domains. This paper discusses the basic Hausman test and its development within econometric panel data settings since its publication. We focus on the construction of the Hausman test in a variety of panel data settings, and in particular, the recent adaptation of the Hausman test to semiparametric and nonparametric panel data models. We present simulation experiments which show the value of the Hausman test in a nonparametric setting, focusing primarily on the consequences of parametric model misspecification for the Hausman test procedure. A formal application of the Hausman test is also given focusing on testing between fixed and random effects within a panel data model of gasoline demand.

Original languageEnglish (US)
Title of host publicationEssays in Honor of Jerry Hausman
EditorsBadi Baltagi, Carter Hill, Whitney Newey, Halbert White
Pages479-513
Number of pages35
DOIs
StatePublished - Dec 1 2012
Externally publishedYes

Publication series

NameAdvances in Econometrics
Volume29
ISSN (Print)0731-9053

Fingerprint

Hausman test
Econometric models
Testing
Econometrics
Random effects
Panel data
Panel data econometrics
Simulation experiment
Parametric model
Model misspecification
Inference
Gasoline demand
Fixed effects

Keywords

  • Hausman test
  • Model misspecification
  • Monte Carlo
  • Nonparametric

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Amini, S., Delgado, M. S., Henderson, D. J., & Parmeter, C. (2012). Fixed vs random: The Hausman test four decades later. In B. Baltagi, C. Hill, W. Newey, & H. White (Eds.), Essays in Honor of Jerry Hausman (pp. 479-513). [17072665] (Advances in Econometrics; Vol. 29). https://doi.org/10.1108/S0731-9053(2012)0000029021

Fixed vs random : The Hausman test four decades later. / Amini, Shahram; Delgado, Michael S.; Henderson, Daniel J.; Parmeter, Christopher.

Essays in Honor of Jerry Hausman. ed. / Badi Baltagi; Carter Hill; Whitney Newey; Halbert White. 2012. p. 479-513 17072665 (Advances in Econometrics; Vol. 29).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Amini, S, Delgado, MS, Henderson, DJ & Parmeter, C 2012, Fixed vs random: The Hausman test four decades later. in B Baltagi, C Hill, W Newey & H White (eds), Essays in Honor of Jerry Hausman., 17072665, Advances in Econometrics, vol. 29, pp. 479-513. https://doi.org/10.1108/S0731-9053(2012)0000029021
Amini S, Delgado MS, Henderson DJ, Parmeter C. Fixed vs random: The Hausman test four decades later. In Baltagi B, Hill C, Newey W, White H, editors, Essays in Honor of Jerry Hausman. 2012. p. 479-513. 17072665. (Advances in Econometrics). https://doi.org/10.1108/S0731-9053(2012)0000029021
Amini, Shahram ; Delgado, Michael S. ; Henderson, Daniel J. ; Parmeter, Christopher. / Fixed vs random : The Hausman test four decades later. Essays in Honor of Jerry Hausman. editor / Badi Baltagi ; Carter Hill ; Whitney Newey ; Halbert White. 2012. pp. 479-513 (Advances in Econometrics).
@inproceedings{fd6e3baa8aa24bbcb4b1e9cb44ec3224,
title = "Fixed vs random: The Hausman test four decades later",
abstract = "Hausman (1978) represented a tectonic shift in inference related to the specification of econometric models. The seminal insight that one could compare two models which were both consistent under the null spawned a test which was both simple and powerful. The so-called Hausman test has been applied and extended theoretically in a variety of econometric domains. This paper discusses the basic Hausman test and its development within econometric panel data settings since its publication. We focus on the construction of the Hausman test in a variety of panel data settings, and in particular, the recent adaptation of the Hausman test to semiparametric and nonparametric panel data models. We present simulation experiments which show the value of the Hausman test in a nonparametric setting, focusing primarily on the consequences of parametric model misspecification for the Hausman test procedure. A formal application of the Hausman test is also given focusing on testing between fixed and random effects within a panel data model of gasoline demand.",
keywords = "Hausman test, Model misspecification, Monte Carlo, Nonparametric",
author = "Shahram Amini and Delgado, {Michael S.} and Henderson, {Daniel J.} and Christopher Parmeter",
year = "2012",
month = "12",
day = "1",
doi = "10.1108/S0731-9053(2012)0000029021",
language = "English (US)",
isbn = "9781781903070",
series = "Advances in Econometrics",
pages = "479--513",
editor = "Badi Baltagi and Carter Hill and Whitney Newey and Halbert White",
booktitle = "Essays in Honor of Jerry Hausman",

}

TY - GEN

T1 - Fixed vs random

T2 - The Hausman test four decades later

AU - Amini, Shahram

AU - Delgado, Michael S.

AU - Henderson, Daniel J.

AU - Parmeter, Christopher

PY - 2012/12/1

Y1 - 2012/12/1

N2 - Hausman (1978) represented a tectonic shift in inference related to the specification of econometric models. The seminal insight that one could compare two models which were both consistent under the null spawned a test which was both simple and powerful. The so-called Hausman test has been applied and extended theoretically in a variety of econometric domains. This paper discusses the basic Hausman test and its development within econometric panel data settings since its publication. We focus on the construction of the Hausman test in a variety of panel data settings, and in particular, the recent adaptation of the Hausman test to semiparametric and nonparametric panel data models. We present simulation experiments which show the value of the Hausman test in a nonparametric setting, focusing primarily on the consequences of parametric model misspecification for the Hausman test procedure. A formal application of the Hausman test is also given focusing on testing between fixed and random effects within a panel data model of gasoline demand.

AB - Hausman (1978) represented a tectonic shift in inference related to the specification of econometric models. The seminal insight that one could compare two models which were both consistent under the null spawned a test which was both simple and powerful. The so-called Hausman test has been applied and extended theoretically in a variety of econometric domains. This paper discusses the basic Hausman test and its development within econometric panel data settings since its publication. We focus on the construction of the Hausman test in a variety of panel data settings, and in particular, the recent adaptation of the Hausman test to semiparametric and nonparametric panel data models. We present simulation experiments which show the value of the Hausman test in a nonparametric setting, focusing primarily on the consequences of parametric model misspecification for the Hausman test procedure. A formal application of the Hausman test is also given focusing on testing between fixed and random effects within a panel data model of gasoline demand.

KW - Hausman test

KW - Model misspecification

KW - Monte Carlo

KW - Nonparametric

UR - http://www.scopus.com/inward/record.url?scp=84885007417&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84885007417&partnerID=8YFLogxK

U2 - 10.1108/S0731-9053(2012)0000029021

DO - 10.1108/S0731-9053(2012)0000029021

M3 - Conference contribution

SN - 9781781903070

T3 - Advances in Econometrics

SP - 479

EP - 513

BT - Essays in Honor of Jerry Hausman

A2 - Baltagi, Badi

A2 - Hill, Carter

A2 - Newey, Whitney

A2 - White, Halbert

ER -