Testing for parameter constancy in the time series direction in panel data models
Testing for parameter constancy in the time series direction in panel data models
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DOI：
10.1080/00949655.2014.945089
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发表时间：
2015-09
影响因子：
1.2
通讯作者：
Daisuke Yamazaki;Eiji Kurozumi
中科院分区：
文献类型：
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作者：
Daisuke Yamazaki;Eiji Kurozumi
我们提出了面板数据模型中时间序列方向参数稳定性的测试。我们基于 Tanaka [时间序列分析：非平稳和不可逆分布理论。纽约：威利； 1996] 以及基于 Elliott 和 Müller 的渐近点最优检验 [回归系数中一般持续时间变化的有效检验。经济研究师。 2006；73：907–940]。当N固定时，我们推导出检验统计量的极限分布为T→∞，并通过应用数值积分和响应面回归来计算临界值。仿真结果表明，如果我们适当应用所提出的测试，它们将表现良好。
We propose tests for parameter constancy in the time series direction in panel data models. We construct a locally best invariant test based on Tanaka [Time series analysis: nonstationary and noninvertible distribution theory. New York: Wiley; 1996] and an asymptotically point optimal test based on Elliott and Müller [Efficient tests for general persistent time variation in regression coefficients. Rev Econ Stud. 2006;73:907–940]. We derive the limiting distributions of the test statistics as T→∞ while N is fixed, and calculate the critical values by applying numerical integration and response surface regression. Simulation results show that the proposed tests perform well if we apply them appropriately.