Le Gallo, Julie; Sénégas, Marc-Alexandre - In: Econometrics : open access journal 11 (2023) 4, pp. 1-28
We provide new analytical results for the implementation of the Hausman specification test statistic in a standard panel data model, comparing the version based on the estimators computed from the untransformed random effects model specification under Feasible Generalized Least Squares and the...