Claudia Pigini, Alessandro Pionati, Francesco Valentini
arXiv 3 Oct 2023 · Econometrics
arXiv:2310.01950 · PDF · DOI · OpenAlex · Extracted main text
We propose a Hausman test for the correct specification of unobserved heterogeneity in both linear and nonlinear fixed-effects panel data models. The null hypothesis is that heterogeneity is either time-invariant or, symmetrically, described by homogeneous time effects. We contrast the standard one-way fixed-effects estimator with the recently developed two-way grouped fixed-effects estimator, that is consistent in the presence of time-varying heterogeneity (or heterogeneous time effects) under minimal specification and distributional assumptions for the unobserved effects. The Hausman test compares jackknife corrected estimators, removing the leading term of the incidental parameters and approximation biases, and exploits bootstrap to obtain the variance of the vector of contrasts. We provide Monte Carlo evidence on the size and power properties of the test and illustrate its application in two empirical settings.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai, J (2009) Panel data models with interactive fixed effects | 1.000 | 6 | 3 | 100% |
| 2 | Castagnetti, C., Rossi, E., and Trapani, L (2015) Inference on factor structures in heterogeneous panels | 1.000 | 6 | 3 | 100% |
| 3 | Bonhomme, S., Lamadon, T., and Manresa, E (2022) Discretizing unobserved heterogeneity | 0.971 | 12 | 4 | 92% |
| 4 | Fernández-Val, I. and Weidner, M (2016) Individual and time effects in nonlinear panel models with large n, t | 0.928 | 4 | 3 | 100% |
| 5 | Hahn, J. and Newey, W (2004) Jackknife and analytical bias reduction for nonlinear panel models | 0.830 | 7 | 5 | 57% |
| 6 | Bartolucci, F., Belotti, F., and Peracchi, F (2015) Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data | 0.737 | 3 | 2 | 100% |
| 7 | Dhaene, G. and Jochmans, K (2015) Split-panel jackknife estimation of fixed-effect models | 0.737 | 3 | 2 | 100% |
| 8 | Hausman, J. A (1978) Specification tests in econometrics | 0.644 | 2 | 2 | 100% |
| 9 | Bai, J. and Wang, P (2024) Causal inference using factor models | 0.644 | 2 | 2 | 100% |
| 10 | Callaway, B. and Karami, S (2023) Treatment effects in interactive fixed effects models with a small number of time periods | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 49 scored citations.