Tests for unbalanced error component models under local misspecification

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This paper derives unbalanced versions of the tests statistics for first order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the increasi...

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Autores principales: Sosa Escudero, Walter, Bera, Anil K.
Formato: Articulo Documento de trabajo
Lenguaje:Inglés
Publicado: 2008
Materias:
Economía
modelos econométricos
econometría
error components model; unbalanced panel data; testing; misspecification
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/3624
http://cedlas.econo.unlp.edu.ar/download.php?file=archivos_upload/doc_cedlas65.pdf
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-3624
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Economía
modelos econométricos
econometría
error components model; unbalanced panel data; testing; misspecification
spellingShingle Economía
modelos econométricos
econometría
error components model; unbalanced panel data; testing; misspecification
Sosa Escudero, Walter
Bera, Anil K.
Tests for unbalanced error component models under local misspecification
topic_facet Economía
modelos econométricos
econometría
error components model; unbalanced panel data; testing; misspecification
description This paper derives unbalanced versions of the tests statistics for first order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the increasing availability of panel information where not every individual or country is observed for the full time span. Also, as it was the case of the previously available tests, the test statistics proposed here are based on the OLS residuals, and hence are computationally very simple.
format Articulo
Documento de trabajo
author Sosa Escudero, Walter
Bera, Anil K.
author_facet Sosa Escudero, Walter
Bera, Anil K.
author_sort Sosa Escudero, Walter
title Tests for unbalanced error component models under local misspecification
title_short Tests for unbalanced error component models under local misspecification
title_full Tests for unbalanced error component models under local misspecification
title_fullStr Tests for unbalanced error component models under local misspecification
title_full_unstemmed Tests for unbalanced error component models under local misspecification
title_sort tests for unbalanced error component models under local misspecification
publishDate 2008
url http://sedici.unlp.edu.ar/handle/10915/3624
http://cedlas.econo.unlp.edu.ar/download.php?file=archivos_upload/doc_cedlas65.pdf
work_keys_str_mv AT sosaescuderowalter testsforunbalancederrorcomponentmodelsunderlocalmisspecification
AT beraanilk testsforunbalancederrorcomponentmodelsunderlocalmisspecification
bdutipo_str Repositorios
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