کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7546038 1489620 2018 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hausman-type tests for individual and time effects in the panel regression model with incomplete data
ترجمه فارسی عنوان
آزمون هاسمن برای اثرات فردی و زمان در مدل رگرسیون پانل با داده های ناقص
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
By comparing estimators of the variance of idiosyncratic error at different robust levels, two Hausman-type test statistics are respectively constructed for the existence of individual and time effects in the panel regression model with incomplete data. The resultant test statistics have several desired properties. Firstly, they are robust to the presence of one effect when the other is tested. Secondly, they are immune to the non-normal distribution of the disturbances since the distributional conditions are not needed in the construction of the statistics. Thirdly, they have more robust performances than the main competitors in the literature when the covariates are correlated with the effects. Additionally, they are very simple and have no heavy computational burden. Joint tests for both of the two effects are also discussed. Monte Carlo evidence shows that the proposed tests have desired finite sample properties, and a real data analysis gives further support.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Korean Statistical Society - Volume 47, Issue 3, September 2018, Pages 347-363
نویسندگان
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