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A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects

Ando, Tomohiro - 2014

We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...

Persistent link: https://www.econbiz.de/10013039865

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Zhu, Huanjun - 2015

This paper develops a method for testing for the presence of a single structural break in panel data models with unobserved heterogeneity represented by a factor error structure. The common factor approach is an appealing way to capture the effect of unobserved variables, such as skills and...

Persistent link: https://www.econbiz.de/10013014830

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …

Persistent link: https://www.econbiz.de/10003817215

Change Point in Panel Data with Small Fixed Panel Size : Ratio and Non-Ratio Test Statistics

Pestova, Barbora; Pesta, Michal - 2016

The main goal is to develop and, consequently, compare stochastic methods for detection whether a structural change in panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number...

Persistent link: https://www.econbiz.de/10014125734

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...

Persistent link: https://www.econbiz.de/10009736650

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

Persistent link: https://www.econbiz.de/10003510803

Bootstrapping the Hausman Test in Panel Data Models

Bole, Velimir Anton; Rebec, Peter - 2012

In the paper it is shown that in panel data models the Hausman test (HT) statistic can be considerably refined using the bootstrap technique. Edgeworth expansion shows that coverage of the bootstrapped HT is second-order correct. The asymptotic vs. the bootstrapped HT are compared also by Monte...

Persistent link: https://www.econbiz.de/10014068220

A More Powerful Panel Unit Test with an Application to PPP

Lau, Chi Keung Marco - 2009

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit root tests and makes it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence into account. The proposed...

Persistent link: https://www.econbiz.de/10012764810

Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence

Hadri, Kaddour; Rao, Yao - 2010

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based...

Persistent link: https://www.econbiz.de/10014201245