Baltagi, Badi H.; Bresson, Georges; Etienne, Jean-Michel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-15
-way random-effects (TWRE) estimator if the Hausman test based on the contrast between the two-way fixed-effects (TWFE) estimator … and the TWRE estimator is not rejected. Alternatively, they select the TWFE estimator in cases where this Hausman test … correlated with these individual and time effects. This paper proposes a pretest estimator for this two-way error component panel …