Fixed effects, random effects or Hausman–Taylor?: A pretest estimator

This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.

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Bibliographic Details
Published in:Economics letters 2003-06, Vol.79 (3), p.361-369
Main Authors: Baltagi, Badi H., Bresson, Georges, Pirotte, Alain
Format: Article
Language:English
Subjects:
Economics
Estimation
Fixed effects
Hausman–Taylor
Mathematical methods
Monte Carlo simulation
Panel data
Pretest estimator
Random effects
Simulation
Simulations
Online Access:Get full text
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Description
Summary:This paper suggests a pretest estimator based upon two Hausman tests as an alternative to the fixed effects or random effects estimators for panel data models. The bias and RMSE properties of these estimators are investigated using Monte Carlo experiments.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(03)00007-7