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- Publisher Website: 10.1016/j.jeconom.2013.08.020
- Scopus: eid_2-s2.0-84889083978
- WOS: WOS:000329961000014
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Article: Moment-based Tests For Individual And Time Effects In Panel Data Models
Title | Moment-based Tests For Individual And Time Effects In Panel Data Models |
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Authors | |
Keywords | Estimation of moment Hausman-type test Individual effect Panel data Time effect |
Issue Date | 2014 |
Publisher | Elsevier. 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? |
Abstract | 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 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 Identifier | http://hdl.handle.net/10722/200921 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wu, J | en_US |
dc.contributor.author | Li, G | en_US |
dc.date.accessioned | 2014-08-21T07:07:11Z | - |
dc.date.available | 2014-08-21T07:07:11Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | Journal of Econometrics, 2014, v. 178, p. 569-581 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/200921 | - |
dc.description.abstract | 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 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.language | eng | en_US |
dc.publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/jeconom | en_US |
dc.relation.ispartof | Journal of Econometrics | en_US |
dc.rights | NOTICE: 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.subject | Estimation of moment | - |
dc.subject | Hausman-type test | - |
dc.subject | Individual effect | - |
dc.subject | Panel data | - |
dc.subject | Time effect | - |
dc.title | Moment-based Tests For Individual And Time Effects In Panel Data Models | en_US |
dc.type | Article | en_US |
dc.identifier.email | Li, G: gdli@hku.hk | en_US |
dc.identifier.authority | Li, G=rp00738 | en_US |
dc.identifier.doi | 10.1016/j.jeconom.2013.08.020 | en_US |
dc.identifier.scopus | eid_2-s2.0-84889083978 | - |
dc.identifier.hkuros | 234786 | en_US |
dc.identifier.volume | 178 | en_US |
dc.identifier.spage | 569 | en_US |
dc.identifier.epage | 581 | en_US |
dc.identifier.isi | WOS:000329961000014 | - |