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Testing for Random Effects and Spatial Lag Dependence in Panel Data Models

Baltagi, Badi H.; Liu, Long - 2011

This paper derives a joint Lagrange Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

Persistent link: https://www.econbiz.de/10014183452

Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence

Hadri, Kaddour; Rao, Yao - 2010

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based...

Persistent link: https://www.econbiz.de/10014201245

Determining the Poolability of Individual Series in Panel Datasets

Kapetanios, George - 2005

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are assumed to have common values across panel units....

Persistent link: https://www.econbiz.de/10014076077

Determining the Stationarity Properties of Individual Series in Panel Datasets

Kapetanios, George - 2005

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series involved in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel...

Persistent link: https://www.econbiz.de/10014076261

A Simple, Robust Test for Choosing the Level of Fixed Effects in Linear Panel Data Models

Papke, Leslie E.; Wooldridge, Jeffrey M. - 2022

carry out, even for unbalanced panels. In addition, the test is easily made robust to arbitrary heteroskedasticity, serial …

Persistent link: https://www.econbiz.de/10014079855

Revisiting Energy Consumption and GDP Causality : Importance of a Priori Hypothesis Testing, Disaggregated Data, and Heterogeneous Panels

Liddle, Brant - 2015

This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...

Persistent link: https://www.econbiz.de/10013030525

A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects

Ando, Tomohiro - 2014

We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...

Persistent link: https://www.econbiz.de/10013039865

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit … both global heteroskedasticity and cross-unit dependence, we start by adapting the nonlinear instruments method proposed … of the test statistic as long as the t-type statistics are computed with White heteroskedasticity-consistent standard …

Persistent link: https://www.econbiz.de/10009672473

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015

-sectional heteroskedasticity. By simulation the effects are examined of using particular instrument strength enhancing reductions and … found to have great potential when the cross-sectional heteroskedasticity is pronounced and the time-series dimension of the …

Persistent link: https://www.econbiz.de/10010476668