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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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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
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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)
  2. 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)
  3. 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!]
  4. 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!]
  5. 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)
  6. 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!]
  7. Walter Sosa-Escudero & Anil K. Bera, 2001. "Specification tests for linear panel data models," Stata Technical Bulletin, StataCorp LP, vol. 10(61). [Downloadable!]
  8. 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!]
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  9. 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!]
  10. 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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