The asymptotic distribution of the F-test statistic for individual effects
Abstract(the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test. Copyright Royal Economic Society 2006
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 9 (2006)
Issue (Month): 3 (November)
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Other versions of this item:
- C Orme & Y Yamagata, 2006. "The Asymptotic Distribution of the F-Test Statistic for Individual Effects," The School of Economics Discussion Paper Series 0610, Economics, The University of Manchester.
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- Bennala, Nezar & Hallin, Marc & Paindaveine, Davy, 2012. "Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels," Journal of Econometrics, Elsevier, vol. 170(1), pages 50-67.
- Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
- Calhoun, Gray, 2010.
"Hypothesis Testing in Linear Regression when K/N is Large,"
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32216, Iowa State University, Department of Economics.
- Calhoun, Gray, 2011. "Hypothesis testing in linear regression when k/n is large," Journal of Econometrics, Elsevier, vol. 165(2), pages 163-174.
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