04.1.1.A Hausman Test Based on the Difference between Fixed Effects Two-Stage Least Squares and Error Components Two-Stage Eeast Squares

摘要

Consider the following first structural equation of a simultaneous equation panel data model:gamma_1 = Z_1delta_1+u_1,where Z_1 = [Y_1,X_1 and delta_1' = (gamma_1',beta_1').As in the standard simultaneous equation literature,Y is the set of k_1 right-hand-side endogenous variables,and X is the set of A'| included exogenous variables.Let X - [X_1,X_2] be the set of all exogenous variables in the system.Let k_2,the number of excluded exogenous variables from the first equation (X_2),be larger than or equal to g_1.