bsfeistest() R function from [feisr]

Bootstrapped Regression Test

Estimates a bootstrapped Hausman test for fixed effects individual slope models.


bsfeistest(
  model = NA,
  type = c("all", "bs1", "bs2", "bs3"),
  terms = NULL,
  rep = 500,
  seed = NULL,
  prog = TRUE,
  ...
)

Arguments

model: an object of class "feis".
type: one of "all" (the Default), "bs1" for test of FEIS against FE only, "bs2" for test of FE against RE only, and "bs3" 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".
rep: the number of repetitions to be used in bootstrapping (default is 500).
seed: the seed used for random sampling in bootstrapping. Needs to be a valid integer. If not specified, the current seed is used.
prog: ... logical. If TRUE (the Default) shows the progress in the output window.
...: further arguments.

Returns

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="bs1").

wald_fe: an object of class "wald.test" testing the fixed effects model against the random effects model (type="bs2").
wald_re: an object of class "wald.test" testing the fixed effects individual slopes model against the random effects model (type="bs3").
vcov1: the empirical (bootstrapped) variance-covariance matrix of the coefficients obtained from FEIS and FE (type="bs1").
vcov2: the empirical (bootstrapped) variance-covariance matrix of the coefficients obtained from FE and RE (type="bs2").
vcov3: the empirical (bootstrapped) variance-covariance matrix of the coefficients obtained from FEIS and RE (type="bs3").
bscoef.feis: a matrix containing the estimated FEIS coefficients of each bootstrap run.
bscoef.fe: a matrix containing the estimated FE coefficients of each bootstrap run.
bscoef.re: a matrix containing the estimated RE coefficients of each bootstrap run.
call: the matched call.
formula: an object of class "Formula" describing the model.
type: the type of performed test(s).
sample: a list containing the IDs sampled in each run.
seed: the seed used for bootstrapping.
terms: character vector of covariates are included in the Wchi-squared test.

Details

The function computes a bootstrapped version of the Hausman test if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="Hausman.1978.0",package="feisr",cached_env=.Rdpack.currefs) . Pairs cluster bootstrapping if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="Cameron.2008,Ruttenauer.2020",package="feisr",cached_env=.Rdpack.currefs) is used to obtain the empirical variance-covariance matrix of the estimators, either for FEIS and conventional FE, convention FE and RE, or FEIS and RE.

type="bs1" estimates a bootstrapped Hausman test comparing fixed effects individual slope models and conventional fixed effects models. In this case, bsfeistest tests for inconsistency of the convetional FE model due to heterogeneous slopes. type="bs2" estimates a bootstrapped version of the well-known Hausman test comparing conventional fixed effects models against random effects models. type="bs3" estimates a bootstrapped Hausman directly comparing FEIS against RE, thereby testing for inconsistency of the RE model due to either heterogeneous slopes or time-constant omitted heterogeneity. Bootstrapping is perfomed by resampling with replacement while keeping the number of groups identical to the number of groups in the original dataset. A wald test from aod package is used to perform a Wald chi-squared test on the differences between coefficients.

Examples


data("mwp", package = "feisr")
## Not run:

feis.mod <- feis(lnw ~ marry + enrol | year,
                 data = mwp, id = "id", robust = TRUE)
bsht <- bsfeistest(feis.mod, type = "bs1", rep = 100, seed = 1234)
summary(bsht)
## End(Not run)

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)

bsfeistest function