The Asymptotic Distribution of the F-Test Statistic for Individual Effects
Abstract(the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test. Copyright Royal Economic Society 2006
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Bibliographic InfoPaper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0610.
Date of creation: 2006
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- Chris D. Orme & Takashi Yamagata, 2006. "The asymptotic distribution of the F-test statistic for individual effects," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 404-422, November.
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- Calhoun, Gray, 2010.
"Hypothesis Testing in Linear Regression when K/N is Large,"
Staff General Research Papers
32216, Iowa State University, Department of Economics.
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