A correlated random effects approach to the estimation of models with multiple fixed effects
Economics Letters, 2022, vol. 213, issue C
This paper generalizes two important equivalence results in one-way panel models to models with multiple fixed effects. (1) We show that the correlated random effects estimator obtained via the use of the Mundlak device is identical to the fixed effects estimator. (2) A weighted variable addition test is shown to be equivalent to the fully robust Hausman specification test.
Keywords: Correlated random effects; Hausman test; Multiple fixed effects (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000763
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