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Rank‐based Optimal Tests for Random Effects in Panel Data

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  • Nezar Bennala
  • Marc Hallin
  • Davy Paindaveine

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/57643/1/2010-018-BENNALA_HALLIN_PAINDAVEINE-rankbased.pdf
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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2010-018.

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Length: 33 p.
Date of creation: 2010
Date of revision:
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/57643

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Related research

Keywords: Random Effects; Panel Data; Rank Tests; Local Asymptotic Normality;

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References

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  1. 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.
  2. Swensen, Anders Rygh, 1985. "The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 54-70, February.
  3. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July.
  4. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August.
  5. Marc Hallin & Bas Werker, 2003. "Semiparametric efficiency, distribution-freeness, and invariance," ULB Institutional Repository 2013/2119, ULB -- Universite Libre de Bruxelles.
  6. Marc Hallin & Jean-François Ingenbleek & Madan L. Puri, 1985. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2003, ULB -- Universite Libre de Bruxelles.
  7. Moulton, Brent R & Randolph, William C, 1989. "Alternative Tests of the Error Components Model," Econometrica, Econometric Society, vol. 57(3), pages 685-93, May.
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