Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: panfix panhaus pandyn

Quantlet: panhaus
Description: Hausman Test for a correlation between the regressors and the individual effects

Usage: {OUTPUT} = panhaus(Z,siga,sige,m {,T} )
Input:
Z Dataset ordered by Individuals (i) 1st column: Index of Individuals 2nd column: Dependent variable 3rd ... column: Explanatory variables (without const!) NT x k+2 Matrix
T Number of time periods for a BALANCED Dataset. No column for the Index of Individuals. (Optional, only for a Dataset with the same T for all Individuals = BALANCED PANEL)
Output:
OUTPUT String of output table

Example:

library("metrics")

z=read("earnings")

z1 = z[,1:2]~log(z[,3])~z[,4]~(z[,4]^2)

{output,siga,sige}=panfix(z1,2)

panhaus(z1,siga,sige,2)

Result:



[ 1,] "====================================================="

[ 2,] "Hausman Specification Test for the null hypothesis:  "

[ 3,] " 2 Variables x(i,t) are uncorrelated with a(i)      "

[ 4,] "====================================================="

[ 5,] "  d = beta(between)-beta(within)    SE        t-value"

[ 6,] "====================================================="

[ 7,] "  d [ 1 ] =        -0.0406       0.0978        -0.415"

[ 8,] "  d [ 2 ] =        -0.3370       0.3063        -1.100"

[ 9,] "====================================================="

[10,] "P-Value (RANDOM against FIXED effects):        0.4739"

[11,] "====================================================="


Library: metrics
See also: panfix panhaus pandyn

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Joerg Breitung, 990324
(C) MD*TECH Method and Data Technologies, 21.9.2000