Baltagi, Badi H.; Bresson, Georges; Etienne, Jean-Michel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-15
For a panel data linear regression model with both individual and time effects, empirical studies select the two … correlated with these individual and time effects. This paper proposes a pretest estimator for this two-way error component panel … data regression model based on two Hausman tests. The first Hausman test is based upon the contrast between the TWFE and …