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Article: Moment-based Tests For Random Effects In The Two-way Error Component Model With Unbalanced Panels

TitleMoment-based Tests For Random Effects In The Two-way Error Component Model With Unbalanced Panels
Authors
Wu, JLi, GXia, Q
KeywordsMoment estimation
Random effects
Test for random effects
Two-way error component model
Unbalanced panels
Issue Date2018
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmod
Citation
Economic Modelling, 2018, v. 74, p. 61-76 How to Cite?
DOI: http://dx.doi.org/10.1016/j.econmod.2018.05.003
AbstractThis paper extends Wu and Li (2014)'s moment-based tests for random effects to the case with unbalanced panel data. Based on the difference of variance estimators of the idiosyncratic errors at different robust levels, two statistics are constructed to test for the existence of individual and time effects, respectively. Some variants of the two statistics and joint tests for both the two effects are also discussed. Their asymptotic properties are obtained under some mild conditions. It is shown that the tests retain the desired properties observed in the balanced panel data case. Monte Carlo simulation experiments and a real data analysis are carried out for illustration.
Persistent Identifierhttp://hdl.handle.net/10722/261159
ISSN
0264-9993
2021 Impact Factor: 3.875
2020 SCImago Journal Rankings: 1.049
ISI Accession Number ID
WOS:000447110400005

 

DC FieldValueLanguage
dc.contributor.authorWu, J-
dc.contributor.authorLi, G-
dc.contributor.authorXia, Q-
dc.date.accessioned2018-09-14T08:53:28Z-
dc.date.available2018-09-14T08:53:28Z-
dc.date.issued2018-
dc.identifier.citationEconomic Modelling, 2018, v. 74, p. 61-76-
dc.identifier.issn0264-9993-
dc.identifier.urihttp://hdl.handle.net/10722/261159-
dc.description.abstractThis paper extends Wu and Li (2014)'s moment-based tests for random effects to the case with unbalanced panel data. Based on the difference of variance estimators of the idiosyncratic errors at different robust levels, two statistics are constructed to test for the existence of individual and time effects, respectively. Some variants of the two statistics and joint tests for both the two effects are also discussed. Their asymptotic properties are obtained under some mild conditions. It is shown that the tests retain the desired properties observed in the balanced panel data case. Monte Carlo simulation experiments and a real data analysis are carried out for illustration.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecmod-
dc.relation.ispartofEconomic Modelling-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectMoment estimation-
dc.subjectRandom effects-
dc.subjectTest for random effects-
dc.subjectTwo-way error component model-
dc.subjectUnbalanced panels-
dc.titleMoment-based Tests For Random Effects In The Two-way Error Component Model With Unbalanced Panels-
dc.typeArticle-
dc.identifier.emailLi, G: gdli@hku.hk-
dc.identifier.authorityLi, G=rp00738-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.econmod.2018.05.003-
dc.identifier.scopuseid_2-s2.0-85047352008-
dc.identifier.hkuros290796-
dc.identifier.volume74-
dc.identifier.spage61-
dc.identifier.epage76-
dc.identifier.isiWOS:000447110400005-
dc.publisher.placeNetherlands-
dc.identifier.issnl0264-9993-

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