Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels

DOI10.1016/J.JECONOM.2012.02.008MaRDI QIDQ528020zbMATH OpenOpenAlexFDO

Authors Nezar Bennala, Marc Hallin, Davy Paindaveine

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612000772

zbMATH Keywords

panel datarandom effectsrank testslocal asymptotic normality

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(4)

• Neyman's \({\mathrm C}(\alpha)\) test for unobserved heterogeneity
• Optimal tests for random effects in linear mixed models
• Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
• Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data

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