Estimates a regression-based Hausman test for fixed effects individual slope models.
feistest(
model = NA,
robust = FALSE,
type = c("all", "art1", "art2", "art3"),
terms = NULL,
...
)
an object of class "feis
".
logical. If TRUE
uses cluster robust standard errors (Default is FALSE
).
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).
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.
An object of class "feistest
", containing the following elements:
an object of class "wald.test
" testing
the fixed effects individual slopes model against the conventional fixed effects model
(type="art1"
).
an object of class "wald.test
" testing
the fixed effects model against the random effects model (type="art2"
).
an object of class "wald.test
" testing
the fixed effects individual slopes model against the random effects model (type="art3"
).
the variance-covariance matrix of CREIS (type="art1"
).
the variance-covariance matrix of CRE (type="art2"
).
the variance-covariance matrix of CREIS without the means (type="art3"
).
an object of class "plm
" (see plm
) estimating a Correlated
Random Effect Individual Slope model (type="art1"
).
an object of class "plm
" (see plm
) estimating a Correlated
Random Effect model (type="art2"
).
an object of class "plm
" (see plm
) estimating a
Correlated Random Effect Individual Slope model without including the covariates' means
(type="art3"
).
the matched call.
logical. If TRUE
cluster robust standard errors were used
(Default is FALSE
.
an object of class "Formula
" describing the model.
the type of performed test(s).
character vector of covariates are included in the Wchi-squared test.
The Hausman test can be computed by estimating a correlated random effects model
@see @Wooldridge.2010.384, pp. 328-334, @Ruttenauer.2020feisr. This is achieved by
estimating a Mundlak Mundlak.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 Mundlak.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
@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.
@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.
# NOT RUN {
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)
# }
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