Testing slope homogeneity in panel data models with a multifactor error structure

DOI10.1007/S00362-017-0929-1zbMATH Open1437.62073OpenAlexW2735197938MaRDI QIDQ2175649FDOQ2175649

Yanyan Li

Publication date: 29 April 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-017-0929-1

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zbMATH Keywords

panel datacross-sectional dependencehomogeneityLagrange multiplier

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Causal inference from observational studies (62D20)

Cites Work

• Expectation of quadratic forms in normal and nonnormal variables with applications
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel Data Models With Interactive Fixed Effects
• Testing for a unit root in panels with dynamic factors
• A PANIC attack on unit roots and cointegration.
• A simple new test for slope homogeneity in panel data models with interactive effects
• Testing slope homogeneity in large panels with serial correlation
• Testing slope homogeneity in large panels
• Dynamic panel estimation and homogeneity testing under cross section dependence
• TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
• Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
• A Laplace approximation to the moments of a ratio of quadratic forms
• Finite Sample Econometrics
• Divergence-based tests of homogeneity for spatial data
• Cross-sectional averages versus principal components
• Misspecified heterogeneity in panel data models
• Properties of shrinkage estimators in linear regression when disturbances are not normal
• A Test for Slope Heterogeneity in Fixed Effects Models
• Lagrange multiplier type tests for slope homogeneity in panel data models

Cited In (3)

• Estimation of heterogeneous panels with systematic slope variations
• Tests for the explanatory power of latent factors
• A Test for Slope Heterogeneity in Fixed Effects Models

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