Testing for persistence in the error component model : a one-sided approach
Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.
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| Formato: | Documento de Trabajo Documento de trabajo draft |
| Lenguaje: | Inglés |
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Universidad de San Andrés. Departamento de Economía
2016
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| Acceso en línea: | http://hdl.handle.net/10908/11921 |
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I37-R143-10908-119212024-09-21T01:23:04Z Testing for persistence in the error component model : a one-sided approach Sosa Escudero, Walter Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina. This paper proposes new simple testing procedures for the joint null hypothesis of absence of persistent e®ects in the form of random e®ects and ¯rst order serial cor- relation in the error component model. The fact that the presence of random e®ects is clearly of a one-sided nature, together with the fact that in many empirical ap- plications researchers worry about positive serial correlation leaves room for a power gain that arises from restricting the parameter space under the alternative hypothesis, compared to existing procedures that allow for two-sided alternatives. 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. An empirical example illustrates the usefulness of the proposed statistics. 2016-11-30T19:05:38Z 2016-11-30T19:05:38Z 2007-02 Documento de Trabajo info:eu-repo/semantics/workingPaper info:ar-repo/semantics/documento de trabajo info:eu-repo/semantics/draft http://hdl.handle.net/10908/11921 eng Documento de trabajo (Universidad de San Andrés. Departamento de Economía);94 info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf application/pdf Universidad de San Andrés. Departamento de Economía |
| institution |
Universidad de San Andrés |
| institution_str |
I-37 |
| repository_str |
R-143 |
| collection |
Repositorio Digital - Universidad de San Andrés (UdeSa) |
| language |
Inglés |
| description |
Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina. |
| format |
Documento de Trabajo Documento de trabajo Documento de trabajo draft |
| author |
Sosa Escudero, Walter |
| spellingShingle |
Sosa Escudero, Walter Testing for persistence in the error component model : a one-sided approach |
| author_facet |
Sosa Escudero, Walter |
| author_sort |
Sosa Escudero, Walter |
| title |
Testing for persistence in the error component model : a one-sided approach |
| title_short |
Testing for persistence in the error component model : a one-sided approach |
| title_full |
Testing for persistence in the error component model : a one-sided approach |
| title_fullStr |
Testing for persistence in the error component model : a one-sided approach |
| title_full_unstemmed |
Testing for persistence in the error component model : a one-sided approach |
| title_sort |
testing for persistence in the error component model : a one-sided approach |
| publisher |
Universidad de San Andrés. Departamento de Economía |
| publishDate |
2016 |
| url |
http://hdl.handle.net/10908/11921 |
| work_keys_str_mv |
AT sosaescuderowalter testingforpersistenceintheerrorcomponentmodelaonesidedapproach |
| _version_ |
1816376684953206784 |