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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)

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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Bibliographic Info

Paper provided by CEDLAS, Universidad Nacional de La Plata in its series CEDLAS, 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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Keywords: error components model; unbalanced panel data; testing; misspecification.;

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References

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  1. Honda, Yuzo, 1985. "Testing the Error Components Model with Non-normal Disturbances," Review of Economic Studies, Wiley Blackwell, vol. 52(4), pages 681-90, October.
  2. Gasparini, Leonardo & Alejo, Javier & Haimovich, Francisco & Olivieri, Sergio & Tornarolli, Leopoldo, 2007. "Poverty among the Elderly in Latin America and the Caribbean," MPRA Paper 42957, University Library of Munich, Germany.
  3. Leonardo Gasparini, 2003. "Income Inequality in Latin America and the Caribbean: Evidence from Household Surveys," CEDLAS, Working Papers 0002, CEDLAS, Universidad Nacional de La Plata.
  4. Walter Sosa-Escudero & Mariana Marchionni & Omar Arias, 2006. "Sources of Income Persistence: Evidence from Rural El Salvador," CEDLAS, Working Papers 0037, CEDLAS, Universidad Nacional de La Plata.
  5. Leonardo Gasparini & Federico Gutiérrez & Leopoldo Tornarolli, 2005. "Growth and Income Poverty in Latin America and the Caribbean: Evidence from Household Surveys," CEDLAS, Working Papers 0030, CEDLAS, Universidad Nacional de La Plata.
  6. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
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  8. Sebastian Galiani & Daniel Heymann, 2005. "Land-Rich Economies, Education and Economic Development," DEGIT Conference Papers c010_048, DEGIT, Dynamics, Economic Growth, and International Trade.
  9. 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.
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  11. Martín Cicowiez & Leonardo Gasparini & Federico Gutierrez & Leopoldo Tornarolli, 2006. "Areas Rurales y Objetivos de Desarrollo del Milenio en America Latina y el Caribe," CEDLAS, Working Papers 0043, CEDLAS, Universidad Nacional de La Plata.
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  13. Ricardo Bebczuk & Francisco Haimovich, 2007. "MDGs and Microcredit: An Empirical Evaluation for Latin American Countries," CEDLAS, Working Papers 0048, CEDLAS, Universidad Nacional de La Plata.
  14. Leonardo Gasparini & Francisco Haimovich & Hernán Winkler, 2006. "Distribución del Ingreso en América Latina: Explorando las Diferencias entre Países," CEDLAS, Working Papers 0034, CEDLAS, Universidad Nacional de La Plata.
  15. 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.
  16. Paula Giovagnoli & Georgina Pizzolitto & Julieta Trías, 2005. "Monitoring the Socio-Economic Conditions in Chile," CEDLAS, Working Papers 0019, CEDLAS, Universidad Nacional de La Plata.
  17. Francisco Haimovich & Hernán Winkler, 2005. "Pobreza Rural y Urbana en Argentina: Un Análisis de Descomposiciones," CEDLAS, Working Papers 0024, CEDLAS, Universidad Nacional de La Plata.
  18. Rafael Di Tella & Sebastian Galiani & Ernesto Schargrodsky, 2010. "Crime Distribution and Victim Behavior during a Crime Wave," NBER Chapters, in: The Economics of Crime: Lessons for and from Latin America, pages 175-204 National Bureau of Economic Research, Inc.
  19. Mariana Marchionni, 2005. "Labor Participation and Earnings for Young Women in Argentina," CEDLAS, Working Papers 0029, CEDLAS, Universidad Nacional de La Plata.
  20. Anil Bera & Walter Sosa Escudero & Mann Yoon, 2000. "Test for the Error Component Model in the Presence of Local Misspecification," Department of Economics, Working Papers 022, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  21. Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(04), pages 649-658, August.
  22. Martín Guzmán & Ezequiel Molina, 2006. "Desigualdad e Instituciones en una Dimensión Intertemporal," CEDLAS, Working Papers 0042, CEDLAS, Universidad Nacional de La Plata.
  23. Leonardo Gasparini, 2005. "Protección Social y Empleo en América Latina: Estudio sobre la Base de Encuestas de Hogares," CEDLAS, Working Papers 0017, CEDLAS, Universidad Nacional de La Plata.
  24. Matías Horenstein & Sergio Olivieri, 2004. "Polarización del Ingreso en la Argentina: Teoría y Aplicación de la Polarización Pura del Ingreso," CEDLAS, Working Papers 0015, CEDLAS, Universidad Nacional de La Plata.
  25. Walter Sosa-Escudero & Anil K. Bera, 2001. "Specification tests for linear panel data models," Stata Technical Bulletin, StataCorp LP, vol. 10(61).
  26. Mariana Marchionni & Germán Bet & Ana Pacheco, 2007. "Empleo, Educación y Entorno Social de los Jóvenes: Una Nueva Fuente de Información," CEDLAS, Working Papers 0061, CEDLAS, Universidad Nacional de La Plata.
  27. Gasparini, Leonardo C. & Pinto, Santiago M., 2006. "Equality of opportunity and optimal cash and in-kind policies," Journal of Public Economics, Elsevier, vol. 90(1-2), pages 143-169, January.
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Citations

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Cited by:
  1. Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print hal-00768191, HAL.
  2. Ricardo Bebczuk, 2009. "SME Access to Credit in Guatemala and Nicaragua: Challenging Conventional Wisdom with New Evidence," CEDLAS, Working Papers 0080, CEDLAS, Universidad Nacional de La Plata.
  3. Walter Sosa-Escudero & Mariana Marchionni & Omar Arias, 2006. "Sources of Income Persistence: Evidence from Rural El Salvador," CEDLAS, Working Papers 0037, CEDLAS, Universidad Nacional de La Plata.

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