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Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - Center for Policy Research, Maxwell School - 2008

correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also … deerived. These LM tests are compared with marginal LM tests that ignore heteroskedasticity in testing for spatial correlation … conditional LM tests when spatial correlation or heteroskedasticity is present. …

Persistent link: https://www.econbiz.de/10005220946

Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - Center for Policy Research, Maxwell School - 2008

correlation, as well as a conditional LM test for no first order serial correlation given heteroskedasticity, all in the context … alternatives, have good size and power under various forms of heteroskedasticity including exponential and quadratic functional …

Persistent link: https://www.econbiz.de/10005698343

Fixed-Effect Estimation of Highly-Mobile Production Technologies

Horrace, William C.; Schnier, Kurt E. - Center for Policy Research, Maxwell School - 2008

Revised from November 2006 and July 2007. We consider fixed-effect estimation of a production function where inputs and outputs vary over time, space, and cross-sectional unit. Variability in the spatial dimension allows for time-varying individual effects, without parametric assumptions on the...

Persistent link: https://www.econbiz.de/10005698354

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Zhang, Yonghui; Su, Liangjun; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2011

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based on a measure of nonparametric goodness-of-fit (R^2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain...

Persistent link: https://www.econbiz.de/10009358886

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the...

Persistent link: https://www.econbiz.de/10010730130

Moment-based tests for individual and time effects in panel data models

Wu, Jianhong; Li, Guodong - In: Journal of Econometrics 178 (2014) P3, pp. 569-581

This paper proposes two Hausman-type tests respectively for individual and time effects in a two-way error component regression model by comparing estimators of the variance of the idiosyncratic error at different robust levels. They are both robust to the presence of the other effect, and the...

Persistent link: https://www.econbiz.de/10010730136

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Robinson, Peter M; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2013

A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as to estimate the fractional parameter. Like models with autoregressive...

Persistent link: https://www.econbiz.de/10011003915

Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels

Bennala, Nezar; Hallin, Marc; Paindaveine, Davy - In: Journal of Econometrics 170 (2012) 1, pp. 50-67

We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...

Persistent link: https://www.econbiz.de/10011052340

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Liangjun, Su; Hoshino, Tadao - School of Economics, Singapore Management University - 2015

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

Persistent link: https://www.econbiz.de/10011164315

Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter M.; Velasco, Carlos - In: Journal of Econometrics 185 (2015) 2, pp. 435-452

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

Persistent link: https://www.econbiz.de/10011190712

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