Escudero, Walter Sosa; Zincenko, Federico - Departamento de Economía, Universidad de San Andrés - 2008
This paper proposes simple tests to detect dynamic and random effects in linear panel data models, in the form of … lagged dependent variables and random effects. We use the analytical framework of Bera and Yoon (1993) to derive tests for … the presence of random effects, lagged dependent variables, or both. All test statistics can be computed based on pooled …