Testing slope homogeneity in large panels

This paper proposes a standardized version of Swamy's test of slope homogeneity for panel data models where the cross section dimension ( N ) could be large relative to the time series dimension ( T ). The proposed test, denoted by Δ ˜ , exploits the cross section dispersion of individual slope...

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Vydáno v:	Journal of econometrics Ročník 142; číslo 1; s. 50 - 93
Hlavní autoři:	Hashem Pesaran, M., Yamagata, Takashi
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Amsterdam Elsevier B.V 01.01.2008 Elsevier Elsevier Sequoia S.A
Edice:	Journal of Econometrics
Témata:	Applications Dispersion tests Distribution theory Dynamic models Econometrics Economic models Errors Exact sciences and technology Experiments Homogeneity Inference from stochastic processes; time series analysis Insurance, economics, finance Large panels Linear inference, regression Mathematics Monte Carlo results Monte Carlo simulation Normal distribution Panel data Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Statistics Studies Tests Tests of slope homogeneity Time series Tests of slope homogeneity Monte Carlo results Dispersion tests C33 C12 Large panels Large dimension Statistical distribution Error estimation Bias Gaussian distribution Stochastic method Stochastic process Economic data Variance Statistical test Panel data Distribution function Approximation theory Dynamic model Mathematical expansion Expansion Monte Carlo method Data analysis Covariance analysis Time series Statistical estimation Variance analysis Mean estimation Homogeneity test Statistical method Statistical regression Numerical analysis Mean error Autocorrelation Econometrics Biased estimation Autoregressive processes
ISSN:	0304-4076, 1872-6895
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