Re: [Gretl-users] Hausman Test
Am 26.04.2018 um 06:41 schrieb Clive Nicholas:
The short answer is not bother too much with Hausman tests.
Such an answer is not really helpful, and I don't think this personal
opinion of yours can be regarded as a professional consensus.
(1) Re-parameterize your model as a multilevel model;
(2) Decompose your variables into 'fixed' (within) and 'random'
(between) components;
(3) Run it in R (through gretl, if you wish), and then;
(4) Do a joint F test of the equality of coefficients.
now tested for the equality (or not) of your fixed and random
effects,
Typically the fixed or random effects are regarded as nuisance
parameters in these contexts. It presume it is not really interesting
for the application whether they are equal. That's one advantage of the
Hausman test which directly targets the coefficients of interest.
That said, your idea certainly has merit. There's nothing wrong with
using one of R's packages (especially with lme4 I've done it myself),
but providing more hints as to how to achieve it in gretl would even be
more welcome on a gretl list.
cheers,
sven