feistest {feisr}

Artificial Regression Test

Description

Estimates a regression-based Hausman test for fixed effects individual slope models.

Usage

feistest(
  model = NA,
  robust = FALSE,
  type = c("all", "art1", "art2", "art3"),
  terms = NULL,
  ...
)

Arguments

model

an object of class "feis".

robust

logical. If TRUE uses cluster robust standard errors (Default is FALSE).

type

one of "all" (the Default), "art1" for test of FEIS against FE only, "art2" for test of FE against RE only, and "art3" for test of FEIS against RE only (see also Details).

terms

An optional character vector specifying which coefficients should be jointly tested. By default, all covariates are included in the Wchi-squared test. For "type=art2", the slope variable is always included in "terms".

...

further arguments.

Details

The Hausman test can be computed by estimating a correlated random effects model (see Wooldridge 2010, pp. 328-334, Ruettenauer and Ludwig 2020). This is achieved by estimating a Mundlak (Mundlak 1978) specification using random effects models with plm. Subsequently, feistest tests whether the time-constant variables / slope variables are correlated with the unobserved heterogeneity by using a Wald chi-squared test.

type="art1" estimates an extended regression-based Hausman test comparing fixed effects individual slope models and conventional fixed effects models. For art1 the Mundlak-specification (Mundlak 1978) includes the person-specific averages, but additionally the person-specific slope estimates used for "detrending" in feis. This allows to test whether we can omit the estimated values based on the slopes and reduce the model to a conventional FE model. The Wald test of type="art1" is applied to the slope variables only. type="art2" estimates the conventional regression-based Hausman test (as described in Wooldridge 2010, pp. 328-334) comparing conventional fixed effects models against random effects models. type="art3" estimates a regression-based Hausman test comparing FEIS directly against RE, thereby testing for inconsistency of the RE model due to either heterogeneous slopes or time-constant omitted heterogeneity. For art3 the Mundlak-specification includes only the person-specific slopes, and no averages. This allows to test whether we can omit the estimated values based on the slopes and reduce the model to a conventional RE model. (for a formal description please see Ruettenauer and Ludwig 2020).

Currently, the tol option in feis() is only forwarded in bsfeistest, but not in feistest.

If specified (robust=TRUE), feistest uses panel-robust standard errors.

Value

An object of class "feistest", containing the following elements:

wald_feis

an object of class "wald.test" testing the fixed effects individual slopes model against the conventional fixed effects model (type="art1").

wald_fe

an object of class "wald.test" testing the fixed effects model against the random effects model (type="art2").

wald_re

an object of class "wald.test" testing the fixed effects individual slopes model against the random effects model (type="art3").

vcov1

the variance-covariance matrix of CREIS (type="art1").

vcov2

the variance-covariance matrix of CRE (type="art2").

vcov3

the variance-covariance matrix of CREIS without the means (type="art3").

CREIS

an object of class "plm" (see plm) estimating a Correlated Random Effect Individual Slope model (type="art1").

CRE

an object of class "plm" (see plm) estimating a Correlated Random Effect model (type="art2").

CREIS2

an object of class "plm" (see plm) estimating a Correlated Random Effect Individual Slope model without including the covariates' means (type="art3").

call

the matched call.

robust

logical. If TRUE cluster robust standard errors were used (Default is FALSE.

formula

an object of class "Formula" describing the model.

type

the type of performed test(s).

terms

character vector of covariates are included in the Wchi-squared test.

References

Mundlak Y (1978). “On the Pooling of Time Series and Cross Section Data.” Econometrica, 46(1), 69. ISSN 00129682.

Ruettenauer T, Ludwig V (2020). “Fixed Effects Individual Slopes: Accounting and Testing for Heterogeneous Effects in Panel Data or Other Multilevel Models.” Sociological Methods and Research, OnlineFirst. ISSN 0049-1241, doi: 10.1177/0049124120926211.

Wooldridge JM (2010). Econometric Analysis of Cross Section and Panel Data. MIT Press, Cambridge, Mass. ISBN 0262294354.

See Also

summary.feistest, bsfeistest, feis, plm, phtest

Examples

data("mwp", package = "feisr")
feis.mod <- feis(lnw ~ marry + enrol | year,
                 data = mwp, id = "id", robust = TRUE)
ht <- feistest(feis.mod, robust = TRUE, type = "all")
summary(ht)
# Only for marry coefficient
ht2 <- feistest(feis.mod, robust = TRUE, type = "all", terms = c("marry"))
summary(ht2)