What is Hausman Taylor estimator?
The Hausman-Taylor estimator is a two-stage least squares (2SLS) regression on data that are weighted similarly to data for random-effects estimation. The weights are functions of the estimated variance components. The observation-level variance is estimated from a one-way fixed-effects model fit.
Why do we conduct Hausman test?
Hausman. The test evaluates the consistency of an estimator when compared to an alternative, less efficient estimator which is already known to be consistent. It helps one evaluate if a statistical model corresponds to the data.
Is the Hausman command relevant for Stata 6?
Note: This FAQ is for users of Stata 5. It is not relevant for Stata 6, which includes the hausman command to perform the Hausman specification test. Stata 5: How do I test endogeneity? How do I perform a Durbin–Wu–Hausman test?
What is the null hypothesis of the Hausman test?
hausman is a general implementation of Hausman’s (1978) specification test, which compares an estimator \ 1that is known to be consistent with an estimator b\ 2that is efficient under the assumption being tested. The null hypothesis is that the estimator b\ 2is indeed an efficient (and consistent) estimator of the true parameters.
Which is a general implementation of the Hausman specification test?
hausman is a general implementation of Hausman’s (1978) specification test, which compares an estimator . 1 that is known to be consistent with an estimator b. 2 that is efficient under the assumption being tested.
Which is better a re or a Hausman test?
Code the p-value gets > 0.05. In this case RE would be better.. – by the way, with non-default standard errors, -hausman- is unfeasible, nor adopting cluster/robust standard errors after -hausman- test is correct. Carlo, many thanks for your helpful comments!