TESTING FOR INDIVIDUAL EFFECTS IN AUTOREGRESSIVE MODELS
TESTING FOR INDIVIDUAL EFFECTS IN AUTOREGRESSIVE MODELS
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DOI：
10.1016/0304-4076(88)90060-7
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发表时间：
1988-11-01
影响因子：
6.3
通讯作者：
HOLTZEAKIN, D
中科院分区：
文献类型：
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作者：
HOLTZEAKIN, D
本说明描述动态模型中是否存在单个效应的检验。该检验采用了因不存在个体效应而隐含的对样本矩的限制。检验未观察到的异质性的假设是可取的，因为控制异质性的估计方法通常更复杂，需要的数据比没有个体效应时所需的数据更多。该测试很容易实现，因为统计数据的计算直接来自线性工具变量估计技术。测试说明的背景下，估计动态工资方程使用的数据从面板研究的收入动态。
This note describes a test for the presence of individual effects in dynamic models. The test employs restrictions on sample moments implied by the absence of individual effects. Testing the assumption of unobserved heterogeneity is desirable because estimation methods which control for heterogeneity are typically more complicated and require more data than would be required without individual effects. The test is easily implemented as the calculation of statistics follows directly from a linear, instrumental variables estimation technique. The test is illustrated in the context of estimating a dynamic wage equation using data from the Panel Study of Income Dynamics.