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

DOI10.1016/j.econlet.2015.02.030zbMath1321.62142OpenAlexW1982915201MaRDI QIDQ500536

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

large panelstesting for factor structureHausman-type test

Mathematics Subject Classification ID

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

Related Items (5)

A Randomized Sequential Procedure to Determine the Number of Factors ⋮ Hausman-type tests for individual and time effects in the panel regression model with incomplete data ⋮ Profile GMM estimation of panel data models with interactive fixed effects ⋮ Inference on factor structures in heterogeneous panels ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures

Cites Work

• Inference on factor structures in heterogeneous panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel Data Models With Interactive Fixed Effects

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