feistest: Artificial Regression Test

In feisr: Estimating Fixed Effects Individual Slope Models

Artificial Regression Test

Description

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

Usage

feistest(
  model = NA,
  robust = FALSE,
  type = c("all", "art1", "art2", "art3"),
  terms = NULL,
  ...
)

Arguments

model	an object of class "feis".
robust	logical. If TRUE uses cluster robust standard errors (Default is FALSE).
type	one of "all" (the Default), "art1" for test of FEIS against FE only, "art2" for test of FE against RE only, and "art3" for test of FEIS against RE only (see also Details).
terms	An optional character vector specifying which coefficients should be jointly tested. By default, all covariates are included in the Wchi-squared test. For "type=art2", the slope variable is always included in "terms".
...	further arguments.

Details

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.

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.

Value

An object of class "feistest", containing the following elements:

wald_feis	an object of class "wald.test" testing the fixed effects individual slopes model against the conventional fixed effects model (type="art1").
wald_fe	an object of class "wald.test" testing the fixed effects model against the random effects model (type="art2").
wald_re	an object of class "wald.test" testing the fixed effects individual slopes model against the random effects model (type="art3").
vcov1	the variance-covariance matrix of CREIS (type="art1").
vcov2	the variance-covariance matrix of CRE (type="art2").
vcov3	the variance-covariance matrix of CREIS without the means (type="art3").
CREIS	an object of class "plm" (see plm) estimating a Correlated Random Effect Individual Slope model (type="art1").
CRE	an object of class "plm" (see plm) estimating a Correlated Random Effect model (type="art2").
CREIS2	an object of class "plm" (see plm) estimating a Correlated Random Effect Individual Slope model without including the covariates' means (type="art3").
call	the matched call.
robust	logical. If TRUE cluster robust standard errors were used (Default is FALSE.
formula	an object of class "Formula" describing the model.
type	the type of performed test(s).
terms	character vector of covariates are included in the Wchi-squared test.

References

\insertAllCited

See Also

summary.feistest, bsfeistest, feis, plm, phtest

Examples

data("mwp", package = "feisr")
feis.mod <- feis(lnw ~ marry + enrol | year,
                 data = mwp, id = "id", robust = TRUE)
ht <- feistest(feis.mod, robust = TRUE, type = "all")
summary(ht)
# Only for marry coefficient
ht2 <- feistest(feis.mod, robust = TRUE, type = "all", terms = c("marry"))
summary(ht2)

feisr documentation built on April 1, 2022, 5:06 p.m.