Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
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测试具有交互效应的异质面板中回归量和因子载荷之间的相关性
DOI：
10.1007/s00181-023-02390-1
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发表时间：
2023
影响因子：
3.2
通讯作者：
Kapetanios G
中科院分区：
文献类型：
--
作者：
Kapetanios G
通过交互效应，已经开发了大量关于面板中横截面依赖性建模的文献。然而，有些领域的研究还没有真正流行起来。其中一个领域是回归变量是否与因子载荷相关。这是一个重要的问题，因为如果回归量与载荷不相关，我们可以简单地使用一致的双向固定效应（FE）估计量，而不使用任何更复杂的计量经济学方法，如主成分（PC）或常见的相关效应估计量。我们探讨这个问题，这已经得到了令人惊讶的关注，并提出了一个豪斯曼型测试来解决这个问题。此外，我们开发了两个非参数方差估计的FE和PC估计，以及他们的差异，这是强大的异方差，自相关性和斜率异质性的存在。在回归变量与载荷之间不相关的零假设下，该检验渐近服从分布. Monte Carlo模拟结果证实，即使在小样本的测试令人满意的尺寸和功率性能。最后，我们提供了大量的实证证据，有利于不相关的因素负荷。在这种情况下，FE估计器将提供一个简单而稳健的估计策略，该策略对于与PC估计器相关联的非平凡计算问题是不变的。
A large literature on modelling cross-section dependence in panels has been developed through interactive effects. However, there are areas where research has not really caught on yet. One such area is the one concerned with whether the regressors are correlated with factor loadings or not. This is an important issue because if the regressors are uncorrelated with loadings, we can simply use the consistent two-way fixed effects (FE) estimator without employing any more sophisticated econometric methods such as the principal component (PC) or the common correlated effects estimators. We explore this issue, which has received surprisingly little attention and propose a Hausman-type test to address the matter. Further, we develop two nonparametric variance estimators for the FE and PC estimators as well as their difference, that are robust to the presence of heteroscedasticity, autocorrelation and slope heterogeneity. Under the null hypothesis of no correlation between the regressors and loadings the proposed test follows thedistribution asymptotically. Monte Carlo simulation results confirm satisfactory size and power performance of the test even in small samples. Finally, we provide extensive empirical evidence in favour of uncorrelated factor loadings. In this situation, the FE estimator would provide a simple and robust estimation strategy which is invariant to nontrivial computational issues associated with the PC estimator.
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发表时间：
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期刊：
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DOI：
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发表时间：
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期刊：
影响因子：
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作者：
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影响因子：
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作者：
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通讯作者：
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