Moment-based tests for individual and time effects in panel data models

DOI10.1016/j.jeconom.2013.08.020zbMath1293.62209OpenAlexW2138578309MaRDI QIDQ2512623

Guodong Li, Jian-hong Wu

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.020

zbMATH Keywords

panel dataindividual effectHausman-type testtime effectestimation of moment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Applications of statistics to social sciences (62P25) Asymptotic properties of parametric tests (62F05)

Related Items (11)

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Hausman-type tests for individual and time effects in the panel regression model with incomplete data ⋮ Statistical inference for the unbalanced two-way error component regression model with errors-in-variables ⋮ Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models ⋮ Testing for individual and time effects in unbalanced panel data models with time-invariant regressors ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ A moment-based test for individual effects in the error component model with incomplete panels ⋮ Determining individual or time effects in panel data models ⋮ Determination of different types of fixed effects in three-dimensional panels* ⋮ Testing for individual and time effects in panel data models with interactive effects

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