A practical test for strict exogeneity in linear panel data models with fixed effects

DOI10.1016/J.ECONLET.2016.08.012MaRDI QIDQ1672580zbMATH OpenOpenAlexFDO

Authors Liangjun Su, Yonghui Zhang, Jie Wei

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/1936

zbMATH Keywords

bootstrapfixed effectspanel datastrict exogeneityWald test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Analysis of panel data
• Econometric analysis of cross section and panel data.
• Power enhancement in high-dimensional cross-sectional tests
• Specification test for panel data models with interactive fixed effects
• Testing homogeneity in panel data models with interactive fixed effects

Cited in

(4)

• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• scientific article; zbMATH DE number 6533240 (Why is no real title available?)
• An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply
• Two tests for strict exogeneity in a correlated random effects panel data Tobit model

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