A test of cross section dependence for a linear dynamic panel model with regressors
A test of cross section dependence for a linear dynamic panel model with regressors
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DOI：
10.1016/j.jeconom.2008.10.006
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发表时间：
2009-02-01
影响因子：
6.3
通讯作者：
Robertson, Donald
中科院分区：
文献类型：
--
作者：
Sarafidis, Vasilis;Yamagata, Takashi;Robertson, Donald
本文提出了一种利用广义矩量法（GMM）对线性动态面板数据模型进行回归估计后误差截面相关性检测的新方法。当面板的横截面尺寸相对于时间序列尺寸较大时，该试验是有效的。重要的是，我们的方法允许人们检查在包括时间假人（或根据时间特定平均值的偏差转换数据）之后是否仍然存在任何误差横截面依赖，这将是异质误差横截面依赖的情况。基于有限样本模拟的结果表明，我们的测试表现良好，特别是基于[Blundell， R., Bond， S.， 1998]的版本。动态面板数据模型的初始条件和矩约束。计量经济学[j] ., 2008,(1): 1 - 3。此外，还证明了系统的GMM估计量。仅基于由回归量组成的部分仪器，可以在异质误差截面依赖下可靠地替代标准GMM估计器。提出的测试应用于就业方程使用英国公司的数据和结果显示，几乎没有证据表明异质误差横截面依赖。(C) 2008 Elsevier B.V.版权所有
This paper proposes a new testing procedure for detecting error cross section dependence after estimating a linear dynamic panel data model with regressors using the generalised method of moments (GMM). The test is valid when the cross-sectional dimension of the panel is large relative to the time series dimension. Importantly, our approach allows one to examine whether any error cross section dependence remains after including time dummies (or after transforming the data in terms of deviations from time-specific averages), which will be the case under heterogeneous error cross section dependence. Finite sample simulation-based results suggest that our tests perform well, particularly the version based on the [Blundell, R., Bond, S., 1998. Initial conditions and moment restrictions in dynamic panel data models. journal of Econometrics 87, 115-143] system GMM estimator. In addition, it is shown that the system GMM estimator. based only on partial instruments consisting of the regressors, can be a reliable alternative to the standard GMM estimators under heterogeneous error cross section dependence. The proposed tests are applied to employment equations using UK firm data and the results show little evidence of heterogeneous error cross section dependence. (C) 2008 Elsevier B.V. All rights reserved.