phtest | R Documentation |

Specification test for panel models.

```
phtest(x, ...)
## S3 method for class 'formula'
phtest(
x,
data,
model = c("within", "random"),
effect = c("individual", "time", "twoways"),
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 (currently none). |

`data` |
a |

`model` |
a character vector containing the names of two models (length(model) must be 2), |

`effect` |
a character specifying the effect to be introduced to both models,
one of |

`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
\insertCiteHAUS:78plm. 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 as in \insertCiteWOOL:10;textualplm,
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 `effect`

argument is only relevant for the formula method/interface and
is then applied to both models. For the panelmodel method/interface, the test
is run with the effects of the already estimated models.

The equivalent tests in the **one-way** case using a between
model (either "within vs. between" or "random vs. between")
\insertCite@see @HAUS:TAYL:81 or @BALT:13 Sec.4.3plm 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,
\insertCite@see @KANG:85 or @BALT:13 Sec.4.3.7plm,
but those are unsupported by `phtest`

.

An object of class `"htest"`

.

Yves Croissant, Giovanni Millo

HAUS:78plm

\insertRefHAUS:TAYL:81plm

\insertRefKANG:85plm

\insertRefWOOL:10plm

\insertRefBALT:13plm

```
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, effect = "time")
# Regression-based Hausman test
phtest(form, data = Gasoline, method = "aux")
# robust Hausman test with vcov supplied as a function and
# with additional parameters
phtest(form, data = Gasoline, method = "aux", vcov = vcovHC)
phtest(form, data = Gasoline, method = "aux",
vcov = function(x) vcovHC(x, method="white2", type="HC3"))
```

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