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

Macro: 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
siga variance estimate of individual effects
sige variance estimate of the remaining error
m The first m explanatory variables are treated as corre- lated with the fixed effects, the remaining variables are assumed to be uncorrelated with the individual effects (= mixed specification)
T Number of time periods for a BALANCED Dataset IMPORTANT: 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 ] =        -0.0705       0.0402        -1.754"
[ 8,] "  d [ 2 ] =         0.0001       0.0008         0.113"
[ 9,] "====================================================="
[10,] "P-Value (RANDOM against FIXED effects):        0.0000"
[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, 17.8.2000