One-sided tests for linear panel data models

This paper proposes simple tests for the error component model for the joint null hypothesis of absence of random effects and positive first order serial correlation. These tests explicitely exploit the one-sided nature of the alternative hypotheses, which yields a power gain compared to existing pr...

Descripción completa

Detalles Bibliográficos
Autor principal: Sosa Escudero, Walter
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2001
Materias:
Ciencias Económicas
error component model
testing
random effects
serial correlation
one-sided alternatives
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/173776
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-173776
record_format dspace
spelling I19-R120-10915-1737762024-11-27T20:12:49Z http://sedici.unlp.edu.ar/handle/10915/173776 One-sided tests for linear panel data models Sosa Escudero, Walter 2001-11 2001 2024-11-27T18:22:59Z en Ciencias Económicas error component model testing random effects serial correlation one-sided alternatives This paper proposes simple tests for the error component model for the joint null hypothesis of absence of random effects and positive first order serial correlation. These tests explicitely exploit the one-sided nature of the alternative hypotheses, which yields a power gain compared to existing procedures based on two-sided alternatives. The test statistics are, by construction, asymptotically optimal. A Monte Carlo experiment shows that the proposed statistics have good size and power performance in very small samples like those typically used in applied work in panel data. Este trabajo propone procedimientos simples para evaluar la hipótesis nula conjunta de ausencia de efectos aleatorios individuales y autocorrelacion de primer orden en modelos de componentes de errores. Los estadísticos propuestos explotan de manera explicita la naturaleza de ‘una cola’ de la hipótesis alternativa, lo que redunda en una ganancia en términos de potencia en comparación con los tests disponibles, basados en alternativas a ‘dos colas’. Los tests propuestos son asintoticamente óptimos por construcción. Se presenta un experimento de Monte Cario que muestra que los estadísticos propuestos tienen buenas propiedades de tamaño y potencia en muestras muy pequeñas, similares a las tipicamente utilizadas en aplicaciones de datos en paneles. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
error component model
testing
random effects
serial correlation
one-sided alternatives
spellingShingle Ciencias Económicas
error component model
testing
random effects
serial correlation
one-sided alternatives
Sosa Escudero, Walter
One-sided tests for linear panel data models
topic_facet Ciencias Económicas
error component model
testing
random effects
serial correlation
one-sided alternatives
description This paper proposes simple tests for the error component model for the joint null hypothesis of absence of random effects and positive first order serial correlation. These tests explicitely exploit the one-sided nature of the alternative hypotheses, which yields a power gain compared to existing procedures based on two-sided alternatives. The test statistics are, by construction, asymptotically optimal. A Monte Carlo experiment shows that the proposed statistics have good size and power performance in very small samples like those typically used in applied work in panel data.
format Objeto de conferencia
Objeto de conferencia
author Sosa Escudero, Walter
author_facet Sosa Escudero, Walter
author_sort Sosa Escudero, Walter
title One-sided tests for linear panel data models
title_short One-sided tests for linear panel data models
title_full One-sided tests for linear panel data models
title_fullStr One-sided tests for linear panel data models
title_full_unstemmed One-sided tests for linear panel data models
title_sort one-sided tests for linear panel data models
publishDate 2001
url http://sedici.unlp.edu.ar/handle/10915/173776
work_keys_str_mv AT sosaescuderowalter onesidedtestsforlinearpaneldatamodels
_version_ 1824075660780371968

Ejemplares similares