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Tests for Unbalanced Error Component Models Under Local Misspecication

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Author Info
Walter Sosa Escudero () (Department of Economics Universidad de San Andrés)
Anil K. Bera (Department of Economics University of Illinois)

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Abstract

This paper derives unbalanced versions of the tests statistics for ¯rst order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the increasing availability of panel information where not every individual or country is observed for the full time span. Also, as it was the case of the previously available tests, the test statistics proposed here are based on the OLS residuals, and hence are computationally very simple.

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Publisher Info
Paper provided by CEDLAS, Universidad Nacional de La Plata in its series Working Papers with number 0065.

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Length: 17 pages
Date of creation: Mar 2008
Date of revision:
Handle: RePEc:dls:wpaper:0065

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Related research
Keywords: error components model; unbalanced panel data; testing; misspecification.;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March. [Downloadable!] (restricted)
    Other versions:
  2. Mariana Marchionni & Leonardo Gasparini, 2007. "Tracing out the effects of demographic changes on the income distribution," Journal of Economic Inequality, Springer, vol. 5(1), pages 97-114, April. [Downloadable!] (restricted)
  3. Matías Horenstein & Sergio Olivieri, 2004. "Polarización del Ingreso en la Argentina: Teoría y Aplicación de la Polarización Pura del Ingreso," Working Papers 0015, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  4. Badi Baltagi & Qi Li, 1990. "A lagrange multiplier test for the error components model with incomplete panels," Econometric Reviews, Taylor and Francis Journals, vol. 9(1), pages 103-107. [Downloadable!] (restricted)
  5. Leonardo Gasparini, 2005. "Protección Social y Empleo en América Latina: Estudio sobre la Base de Encuestas de Hogares," Working Papers 0017, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  6. Leonardo Gasparini, 2003. "Income Inequality in Latin America and the Caribbean: Evidence from Household Surveys," Working Papers 0002, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  7. Walter Sosa-Escudero & Mariana Marchionni & Omar Arias, 2006. "Sources of Income Persistence: Evidence from Rural El Salvador," Working Papers 0037, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  8. Leonardo Gasparini & Francisco Haimovich & Hernán Winkler, 2006. "Distribución del Ingreso en América Latina: Explorando las Diferencias entre Países," Working Papers 0034, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  9. Sebastian Galiani & Daniel Heymann & Carlos Dabus & Fernando Tohme, 2007. "Land-Rich Economies, Education and Economic Development," Working Papers 0049, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
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  10. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 239-53, January. [Downloadable!] (restricted)
  11. Mariana Marchionni & Germán Bet & Ana Pacheco, 2007. "Empleo, Educación y Entorno Social de los Jóvenes: Una Nueva Fuente de Información," Working Papers 0061, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  12. Leonardo Gasparini & Javier Alejo & Francisco Haimovich & Sergio Olivieri & Leopoldo Tornarolli, 2007. "Poverty among the Elderly in Latin America and the Caribbean," Working Papers 0055, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  13. Paula Giovagnoli & Georgina Pizzolitto & Julieta Trías, 2005. "Monitoring the Socio-Economic Conditions in Chile," Working Papers 0019, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  14. Walter Sosa-Escudero & Anil K. Bera, 2001. "Specification tests for linear panel data models," Stata Technical Bulletin, StataCorp LP, vol. 10(61). [Downloadable!]
  15. Leonardo Gasparini & Santiago Pinto, 2005. "Equality of Opportunity and Optimal Cash and In-Kind Policies," Working Papers 0022, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
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  16. Ricardo Bebczuk & Francisco Haimovich, 2007. "MDGs and Microcredit: An Empirical Evaluation for Latin American Countries," Working Papers 0048, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  17. Leonardo Gasparini & Federico Gutiérrez & Leopoldo Tornarolli, 2005. "Growth and Income Poverty in Latin America and the Caribbean: Evidence from Household Surveys," Working Papers 0030, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
    Other versions:
  18. Francisco Haimovich & Hernán Winkler, 2005. "Pobreza Rural y Urbana en Argentina: Un Análisis de Descomposiciones," Working Papers 0024, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  19. Baltagi, Badi H. & Li, Qi, 1991. "A joint test for serial correlation and random individual effects," Statistics & Probability Letters, Elsevier, vol. 11(3), pages 277-280, March. [Downloadable!] (restricted)
  20. Mariana Marchionni, 2005. "Labor Participation and Earnings for Young Women in Argentina," Working Papers 0029, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  21. Martín Cicowiez & Leonardo Gasparini & Federico Gutierrez & Leopoldo Tornarolli, 2006. "Areas Rurales y Objetivos de Desarrollo del Milenio en America Latina y el Caribe," Working Papers 0043, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  22. Martín Guzmán & Ezequiel Molina, 2006. "Desigualdad e Instituciones en una Dimensión Intertemporal," Working Papers 0042, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  23. Rafael Di Tella & Sebastian Galiani & Ernesto Schargrodsky, 2006. "Crime Distribution and Victim Behavior during a Crime Wave," Working Papers 0044, CEDLAS, Universidad Nacional de La Plata. [Downloadable!]
  24. Anand, Sudhir & Kanbur, S. M. R., 1993. "Inequality and development A critique," Journal of Development Economics, Elsevier, vol. 41(1), pages 19-43, June. [Downloadable!] (restricted)
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