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Solutions to Problems Posed in Volume 20(1) and 20(2): 04.1.1. A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Least Squares—Solution

Published online by Cambridge University Press:  31 March 2005

B.H. Baltagi
B.H. Baltagi
Affiliation:
Texas A&M University
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Extract

(a) Let , where Q is the fixed effects (FE) transformation given by Q = INT − P with P = IN [otimes ] ιTιT′/T.

Type
SOLUTIONS TO PROBLEMS
Information
Econometric Theory , Volume 21 , Issue 2 , April 2005 , pp. 483 - 484
Copyright
© 2005 Cambridge University Press

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Footnotes

An excellent solution has been proposed independently by Shiferaw Gurmu, Georgia State University.

References

REFERENCE

Baltagi, B.H. (1981) Simultaneous equations with error components. Journal of Econometrics 17, 189–200.Google Scholar