Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096145 | Journal of Econometrics | 2014 | 11 Pages |
Abstract
We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a 'large N-fixed T' framework, where the incidental parameters problem is bypassed by utilizing a (pseudo) likelihood function conditional on the sufficient statistic for these parameters. A simple 'studentization' produces distribution free tests that can easily be implemented using an artificial regression based on residuals after fixed effects estimation. A Monte Carlo exploration suggests that the tests perform well in small samples such as those encountered in practice.
Keywords
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ted Juhl, Walter Sosa-Escudero,