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Article: Moment-based Tests For Individual And Time Effects In Panel Data Models

TitleMoment-based Tests For Individual And Time Effects In Panel Data Models
Authors
Issue Date2014
PublisherElsevier. The Journal's web site is located at http://www.elsevier.com/locate/jeconom
Citation
Journal of Econometrics, 2014, v. 178, p. 569-581 How to Cite?
AbstractThis 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 test for the individual effect has a larger asymptotic power than the corresponding ANOVA F test when the effects are correlated with covariates. Tests jointly for both effects are also discussed. Monte Carlo evidence shows their good size properties and better power properties than competing tests, and the application to the crime rate study gives further support.
Persistent Identifierhttp://hdl.handle.net/10722/200921
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWu, Jen_US
dc.contributor.authorLi, Gen_US
dc.date.accessioned2014-08-21T07:07:11Z-
dc.date.available2014-08-21T07:07:11Z-
dc.date.issued2014en_US
dc.identifier.citationJournal of Econometrics, 2014, v. 178, p. 569-581en_US
dc.identifier.urihttp://hdl.handle.net/10722/200921-
dc.description.abstractThis 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 test for the individual effect has a larger asymptotic power than the corresponding ANOVA F test when the effects are correlated with covariates. Tests jointly for both effects are also discussed. Monte Carlo evidence shows their good size properties and better power properties than competing tests, and the application to the crime rate study gives further support.en_US
dc.languageengen_US
dc.publisherElsevier. The Journal's web site is located at http://www.elsevier.com/locate/jeconomen_US
dc.relation.ispartofJournal of Econometricsen_US
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal title>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL#, ISSUE#, (DATE)] DOI#en_US
dc.titleMoment-based Tests For Individual And Time Effects In Panel Data Modelsen_US
dc.typeArticleen_US
dc.identifier.emailLi, G: gdli@hku.hken_US
dc.identifier.authorityLi, G=rp00738en_US
dc.identifier.doi10.1016/j.jeconom.2013.08.020en_US
dc.identifier.hkuros234786en_US
dc.identifier.volume178en_US
dc.identifier.spage569en_US
dc.identifier.epage581en_US
dc.identifier.isiWOS:000329961000014-

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