Tests for the error component model in the presence of local misspecification

DOI10.1016/S0304-4076(00)00071-3zbMath0996.62100OpenAlexW2119918717WikidataQ56806314 ScholiaQ56806314MaRDI QIDQ5931137

Walter Sosa-Escudero, Mann J. Yoon, Anil K. Bera

Publication date: 5 November 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00071-3

zbMATH Keywords

local misspecificationrandom effectsserial correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99)

Related Items (17)

A robust test for serial correlation in panel data models ⋮ Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ Hausman-type tests for individual and time effects in the panel regression model with incomplete data ⋮ Testing for random effects and serial correlation in spatial autoregressive models ⋮ Adjustments of Rao's score test for distributional and local parametric misspecifications ⋮ Testing for individual and time effects in unbalanced panel data models with time-invariant regressors ⋮ GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS ⋮ Testing for serial correlation in hierarchical linear models ⋮ On improving the robustness and reliability of Rao's score test ⋮ A Bayesian robust chi-squared test for testing simple hypotheses ⋮ Generalized empirical likelihood specification test robust to local misspecification ⋮ Moment-based tests for individual and time effects in panel data models ⋮ A new test for non-linear hypotheses under distributional and local parametric misspecification ⋮ Determining individual or time effects in panel data models ⋮ Testing under local misspecification and artificial regressions ⋮ Testing for Persistence in the Error Component Model: A One-Sided Approach

Cites Work

• Model specification tests. A simultaneous approach
• Formulation and estimation of dynamic models using panel data
• Monte Carlo results on several new and existing tests for the error component model
• Testing AR(1) against MA(1) disturbances in an error component model
• On multiple diagnostic procedures for the linear model
• Testing the Error Components Model with Non-Normal Disturbances
• Implicit Alternatives and the Local Power of Test Statistics
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Dynamic Aspects of Earning Mobility
• Power of the Noncentral F-Test: Effect of Additional Variates on Hotelling's T 2 -Test
• The Probability Approach in Econometrics
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