feistest() R function from [feisr]

Artificial Regression Test

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


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.

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="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.

Details

The Hausman test can be computed by estimating a correlated random effects model if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="@see @Wooldridge.2010.384, pp.328-334, @Ruttenauer.2020",package="feisr", cached_env=.Rdpack.currefs) . This is achieved by estimating a Mundlak if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="Mundlak.1978.0",package="feisr",cached_env=.Rdpack.currefs) 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 if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="Mundlak.1978.0",package="feisr",cached_env=.Rdpack.currefs) 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 if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="@as described in@Wooldridge.2010.384, pp. 328-334",package="feisr",cached_env=.Rdpack.currefs) 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. if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="@for a formal descriptionplease see @Ruttenauer.2020",package="feisr",cached_env=.Rdpack.currefs) .

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.

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)

References

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

feistest function