Bootstrapping the Hausman test in panel data models

DOI10.1080/03610918.2011.650261MaRDI QIDQ4921588zbMATH OpenOpenAlexFDO

Authors Velimir Bole, Peter Rebec

Publication date 13 May 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.650261

zbMATH Keywords

bootstrapEdgeworth expansionHausman testMonte Carlo simulationpanel data

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Recommendations

• Bootstrapping Hausman's exogeneity test
• The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
• Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
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• Robust heteroskedasticity-robust tests

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Another look at the instrumental variable estimation of error-components models
• Asymptotic expansion for weighted least squares in linear regression models
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrap tests: how many bootstraps?
• Bootstrapping and empirical edgeworth expansions in multiple linear regression models
• Bootstrapping error component model
• Bootstrapping regression models
• Edgeworth expansion in regression models
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• On the testing of correlated effects with panel data
• On the validity of the formal Edgeworth expansion
• Saddlepoint expansions in linear regression.
• Specification Tests in Econometrics
• The bootstrap and Edgeworth expansion
• The power of bootstrap and asymptotic tests
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Unusual properties of bootstrap confidence intervals in regression problems

Cited in

(4)

• Bootstrapping Hausman's exogeneity test
• The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
• Erratum to: ``Testing structural changes in panel data with small fixed panel size and bootstrap
• The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals

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