Description Usage Arguments Details Value References See Also Examples

Estimates a regression-based Hausman test for fixed effects individual slope models.

1 2 3 4 5 6 7 |

`model` |
an object of class " |

`robust` |
logical. If |

`type` |
one of " |

`terms` |
An optional character vector specifying which coefficients should be jointly tested.
By default, all covariates are included in the Wchi-squared test. For " |

`...` |
further arguments. |

The Hausman test can be computed by estimating a correlated random effects model
\insertCite@see @Wooldridge.2010.384, pp. 328-334, @Ruttenauer.2020feisr. This is achieved by
estimating a Mundlak \insertCiteMundlak.1978.0feisr specification using random effects models
with `plm`

.
Subsequently, `feistest`

tests whether the time-constant variables / slope variables are correlated with
the unobserved heterogeneity by using a Wald chi-squared test with `wald.test`

.

`type="art1"`

estimates an extended regression-based Hausman test comparing fixed effects
individual slope models and conventional fixed effects models. For `art1`

the
Mundlak-specification \insertCiteMundlak.1978.0feisr includes the person-specific averages,
but additionally the person-specific slope estimates used for "detrending" in `feis`

.
This allows to test whether we can omit the estimated values based on the slopes and reduce the model
to a conventional FE model. The Wald test of `type="art1"`

is applied to the slope variables only.
`type="art2"`

estimates the conventional regression-based Hausman test
\insertCite@as described in @Wooldridge.2010.384, pp. 328-334feisr comparing conventional
fixed effects models against random effects models.
`type="art3"`

estimates a regression-based Hausman test comparing FEIS directly against RE,
thereby testing for inconsistency of the RE model due to either heterogeneous slopes or time-constant
omitted heterogeneity. For `art3`

the Mundlak-specification includes only the person-specific
slopes, and no averages. This allows to test whether we can omit the estimated values based on
the slopes and reduce the model to a conventional RE model.
\insertCite@for a formal description please see @Ruttenauer.2020feisr.

Currently, the `tol`

option in `feis()`

is only forwarded in bsfeistest,
but not in feistest.

If specified (`robust=TRUE`

), `feistest`

uses panel-robust standard errors.

An object of class "`feistest`

", containing the following elements:

`wald_feis` |
an object of class " |

`wald_fe` |
an object of class " |

`wald_re` |
an object of class " |

`vcov1` |
the variance-covariance matrix of CREIS ( |

`vcov2` |
the variance-covariance matrix of CRE ( |

`vcov3` |
the variance-covariance matrix of CREIS without the means ( |

`CREIS` |
an object of class " |

`CRE` |
an object of class " |

`CREIS2` |
an object of class " |

`call` |
the matched call. |

`robust` |
logical. If |

`formula` |
an object of class " |

`type` |
the type of performed test(s). |

`terms` |
character vector of covariates are included in the Wchi-squared test. |

`summary.feistest`

, `bsfeistest`

,
`feis`

, `plm`

,
`wald.test`

, `phtest`

1 2 3 4 5 6 7 8 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.