phtest {plm} | R Documentation |
Specification test for panel models.
phtest(x, ...) ## S3 method for class 'panelmodel' phtest(x, x2, ...) ## S3 method for class 'formula' phtest(x, data, model = c("within", "random"), method = c("chisq", "aux"), index = NULL, vcov = NULL, ...)
x |
an object of class |
x2 |
an object of class |
model |
a character vector containing the names of two models (length(model) must be 2), |
data |
a |
method |
one of |
index |
an optional vector of index variables, |
vcov |
an optional covariance function, |
... |
further arguments to be passed on. For the formula method,
place argument |
The Hausman test (sometimes also called Durbin–Wu–Hausman test) is
based on the difference of the vectors of coefficients of two different
models. The panelmodel
method computes the original version of
the test based on a quadratic form (Hausman (1978)). The formula
method, if
method="chisq"
(default), computes
the original version of the test based on a quadratic form;
if method="aux"
then the auxiliary-regression-based version in
Wooldridge (2010, Sec. 10.7.3.) is computed instead. Only the latter can
be robustified by specifying a robust covariance estimator as a function
through the argument vcov
(see Examples).
The equivalent tests in the one-way case using a between model (either
"within vs. between" or "random vs. between") (see Hausman/Taylor (1981) or Baltagi
(2013), Sec. 4.3) can also be performed by phtest
, but only for
test = "chisq"
, not for the regression-based test.
NB: These equivalent tests using the between model do not extend to the two-ways case.
(There are, however, some other equivalent tests, see Kang (1985) or Baltagi (2013),
Sec. 4.3.7), but those are unsupported by phtest
.)
An object of class "htest"
.
Yves Croissant, Giovanni Millo
Hausman, J.A. (1978), Specification tests in econometrics, Econometrica, 46(6), pp. 1251–1271.
Hausman, J.A./Taylor, W.E. (1981), Panel data and unobservable individual effects, Econometrica, 49(6), pp. 1377–1398.
Kang, Suk (1985), A note on the equivalence of specification tests in the two-factor multivariate variance components model, Journal of Econometrics, 28(2), pp. 193–203.
Wooldridge, Jeffrey M. (2010), Econometric analysis of cross-section and panel data, 2nd ed., MIT Press, Sec. 10.7.3., pp. 328–334.
Baltagi, Badi H. (2013), Econometric Analysis of Panel Data, 5th ed., John Wiley and Sons., Sec. 4.3.
data("Gasoline", package = "plm") form <- lgaspcar ~ lincomep + lrpmg + lcarpcap wi <- plm(form, data = Gasoline, model = "within") re <- plm(form, data = Gasoline, model = "random") phtest(wi, re) phtest(form, data = Gasoline) phtest(form, data = Gasoline, method = "aux") # robust Hausman test (regression-based) phtest(form, data = Gasoline, method = "aux", vcov = vcovHC) # robust Hausman test with vcov supplied as a # function and additional parameters phtest(form, data = Gasoline, method = "aux", vcov = function(x) vcovHC(x, method="white2", type="HC3"))