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Testing poolability in a system of dynamic regressions with nonspherical disturbances

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  • Maurice J.G. Bun

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Abstract

This study analyzes the testing of cross-equation restrictions within a set of regression equations. Through Monte Carlo experiments we examine the actual size of various asymptotic procedures for testing the poolability hypothesis, i.e., equal slope vectors across individual equations. Regression models with both lagged dependent variable regressors and nonspherical disturbances are considered. In these models we find that the performance in finite samples of classical asymptotic test procedures using critical values from either ℱ or χ 2 approximations is often rather poor. However, employing the original test statistics with bootstrapped critical values leads to much more accurate inference in finite samples. In an empirical analysis of panel data on GDP growth and unemployment rates in OECD countries it is shown that classical asymptotic tests and bootstrap procedures may lead to conflicting test outcomes. Copyright Springer-Verlag 2004

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 29 (2004)
Issue (Month): 1 (January)
Pages: 89-106

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Handle: RePEc:spr:empeco:v:29:y:2004:i:1:p:89-106

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Related research

Keywords: Bootstrap; dynamic regression model; panel data; poolability; test size; C12; C23;

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Cited by:
  1. M. Hashem Pesaran & Takashi Yamagata, 2005. "Testing Slope Homogeneity in Large Panels," IEPR Working Papers 05.14, Institute of Economic Policy Research (IEPR).
  2. Bernoth, Kerstin & Hughes Hallett, Andrew & Lewis, John, 2008. "Did Fiscal Policy Makers Know What They Were Doing? Reassessing Fiscal Policy with Real Time Data," CEPR Discussion Papers 6758, C.E.P.R. Discussion Papers.
  3. Blomquist, Johan & Westerlund, Joakim, 2013. "Testing slope homogeneity in large panels with serial correlation," Economics Letters, Elsevier, vol. 121(3), pages 374-378.
  4. Serhan Cevik & Katerina Teksoz, 2014. "Deep Roots of Fiscal Behavior," IMF Working Papers 14/45, International Monetary Fund.
  5. Cosmin Enache, 2013. "Family and Childcare Support Public Expenditures and Short-Term Fertility Dynamics," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(3), pages 347-364, May.

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