Testing additive versus interactive effects in fixed-\(T\) panels

DOI10.1016/J.ECONLET.2018.10.016zbMath1429.62075OpenAlexW2897493081MaRDI QIDQ2328502

Joakim Westerlund

Publication date: 10 October 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.016

zbMATH Keywords

asymptotic distributionHausman testinteractive effectspanel data regressionadditive fixed effects

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (2)

Shrinkage estimation of panel data models with interactive effects ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures

Cites Work

• Panel data models with multiple time-varying individual effects
• Inference in regression models with many regressors
• A spatio-temporal model of house prices in the USA
• IV estimation of panels with factor residuals
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel Data Models With Interactive Fixed Effects
• Cross-Section Regression with Common Shocks

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