Moment-based tests for individual and time effects in panel data models
Moment-based tests for individual and time effects in panel data models
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DOI：
10.1016/j.jeconom.2013.08.020
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发表时间：
2014
影响因子：
6.3
通讯作者：
Jianhong Wu;Guodong Li
中科院分区：
文献类型：
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作者：
Jianhong Wu;Guodong Li
本文通过比较不同稳健水平下特质误差方差的估计量，提出了双向误差分量回归模型中个体效应和时间效应的两种Hausman型检验.它们对另一个效应的存在都具有稳健性，并且当效应与协变量相关时，个体效应的检验比相应的ANOVA F检验具有更大的渐近功效。测试联合这两种效果也进行了讨论。Monte Carlo证据表明，它们具有较好的尺寸特性和较好的功效特性，并将其应用于犯罪率研究，得到了进一步的支持。
This paper proposes two Hausman-type tests respectively for individual and time effects in a two-way error component regression model by comparing estimators of the variance of the idiosyncratic error at different robust levels. They are both robust to the presence of the other effect, and the test for the individual effect has a larger asymptotic power than the corresponding ANOVA F test when the effects are correlated with covariates. Tests jointly for both effects are also discussed. Monte Carlo evidence shows their good size properties and better power properties than competing tests, and the application to the crime rate study gives further support.