A correlated random effects approach to the estimation of models with multiple fixed effects

被引：4
|
作者：
Yang, Yimin [1 ]
机构：
[1] Renmin Univ China, Sch Finance, China Financial Policy Res Ctr, Beijing, Peoples R China
来源：
ECONOMICS LETTERS | 2022年 / 213卷
基金：
中国国家自然科学基金;
关键词：
Correlated random effects; Hausman test; Multiple fixed effects; SPECIFICATION;
D O I：
10.1016/j.econlet.2022.110408
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper generalizes two important equivalence results in one-way panel models to models with multiple fixed effects. (1) We show that the correlated random effects estimator obtained via the use of the Mundlak device is identical to the fixed effects estimator. (2) A weighted variable addition test is shown to be equivalent to the fully robust Hausman specification test. (C) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页数：4
相关论文
共 50 条
12345