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% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/test_general.R
\name{phtest}
\alias{phtest}
\alias{phtest.formula}
\alias{phtest.panelmodel}
\title{Hausman Test for Panel Models}
\usage{
phtest(x, ...)
\method{phtest}{formula}(
x,
data,
model = c("within", "random"),
effect = c("individual", "time", "twoways"),
method = c("chisq", "aux"),
index = NULL,
vcov = NULL,
...
)
\method{phtest}{panelmodel}(x, x2, ...)
}
\arguments{
\item{x}{an object of class \code{"panelmodel"} or \code{"formula"},}
\item{\dots}{further arguments to be passed on (currently none).}
\item{data}{a \code{data.frame},}
\item{model}{a character vector containing the names of two models
(length(model) must be 2),}
\item{effect}{a character specifying the effect to be introduced to both models,
one of \code{"individual"}, \code{"time"}, or \code{"twoways"} (only for formula method),}
\item{method}{one of \code{"chisq"} or \code{"aux"},}
\item{index}{an optional vector of index variables,}
\item{vcov}{an optional covariance function,}
\item{x2}{an object of class \code{"panelmodel"} (only for panelmodel method/interface),}
}
\value{
An object of class \code{"htest"}.
}
\description{
Specification test for panel models.
}
\details{
The Hausman test (sometimes also called Durbin--Wu--Hausman test)
is based on the difference of the vectors of coefficients of two
different models. The \code{panelmodel} method computes the original
version of the test based on a quadratic form
\insertCite{HAUS:78}{plm}. The \code{formula} method, if
\code{method = "chisq"} (default), computes the original version of the
test based on a quadratic form; if \code{method ="aux"} then the
auxiliary-regression-based version as in \insertCite{WOOL:10;textual}{plm},
Sec.10.7.3. Only the latter can be robustified by specifying a robust
covariance estimator as a function through the argument \code{vcov} (see
\strong{Examples}).
The \code{effect} argument is only relevant for the formula method/interface and
is then applied to both models. For the panelmodel method/interface, the test
is run with the effects of the already estimated models.
The equivalent tests in the \strong{one-way} case using a between
model (either "within vs. between" or "random vs. between")
\insertCite{@see @HAUS:TAYL:81 or @BALT:13 Sec.4.3}{plm} can also
be performed by \code{phtest}, but only for \code{test = "chisq"}, not for
the regression-based test. NB: These equivalent tests using the
between model do not extend to the two-ways case. There are,
however, some other equivalent tests,
\insertCite{@see @KANG:85 or @BALT:13 Sec.4.3.7}{plm},
but those are unsupported by \code{phtest}.
}
\examples{
data("Gasoline", package = "plm")
form <- lgaspcar ~ lincomep + lrpmg + lcarpcap
wi <- plm(form, data = Gasoline, model = "within")
re <- plm(form, data = Gasoline, model = "random")
phtest(wi, re)
phtest(form, data = Gasoline)
phtest(form, data = Gasoline, effect = "time")
# Regression-based Hausman test
phtest(form, data = Gasoline, method = "aux")
# robust Hausman test with vcov supplied as a function and
# with additional parameters
phtest(form, data = Gasoline, method = "aux", vcov = vcovHC)
phtest(form, data = Gasoline, method = "aux",
vcov = function(x) vcovHC(x, method="white2", type="HC3"))
}
\references{
\insertRef{HAUS:78}{plm}
\insertRef{HAUS:TAYL:81}{plm}
\insertRef{KANG:85}{plm}
\insertRef{WOOL:10}{plm}
\insertRef{BALT:13}{plm}
}
\author{
Yves Croissant, Giovanni Millo
}
\keyword{htest}
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