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The two-way Hausman and Taylor estimator

journal contribution
posted on 2023-06-12, 16:30 authored by Badi H Baltagi

 This paper reconsiders the two-way Hausman and Taylor (1981) estimator suggested by Wyhowski (1994). The two-way HT estimator allows some but not necessarily all the regressors to be correlated with the individual and time effects. It also allows the estimation of the effects of time-invariant as well as individual-invariant regressors which are wiped out by the two-way fixed effects estimator. Hausman type tests are proposed for this two-way HT regression to test the over-identification conditions implied by the choice of the uncorrelated regressors. This should prove useful for empirical work in this area. 

History

Author affiliation

School of Business, University of Leicester

Version

  • AM (Accepted Manuscript)

Published in

Economics Letters

Volume

228

Publisher

Elsevier BV

issn

0165-1765

Copyright date

2023

Available date

2024-11-05

Language

en

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