Testing for no factor structures: on the use of Hausman-type statistics

DOI10.1016/J.ECONLET.2015.02.030MaRDI QIDQ500536zbMATH OpenOpenAlexFDO

Authors Carolina Castagnetti, Eduardo Rossi, Lorenzo Trapani

Publication date 5 October 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.02.030

zbMATH Keywords

Hausman-type testlarge panelstesting for factor structure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Inference on factor structures in heterogeneous panels
• Panel data models with interactive fixed effects

Cited in

(7)

• Hausman-type tests for individual and time effects in the panel regression model with incomplete data
• A randomized sequential procedure to determine the number of factors
• Inference on factor structures in heterogeneous panels
• Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
• A Statistical Test to Reject the Structural interpretation of a Latent Factor Model
• Profile GMM estimation of panel data models with interactive fixed effects
• An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects

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