Tests for Dynamic Effects in Linear Panel Data Models
AbstractThis paper proposes simple tests to detect dynamic and random effects in linear panel data models, in the form of lagged dependent variables and random effects. We use the analytical framework of Bera and Yoon (1993) to derive tests for the presence of random effects, lagged dependent variables, or both. All test statistics can be computed based on pooled OLS estimates, and hence can serve as a useful specification search tool to validate the adoption of a dynamic model.
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Bibliographic InfoPaper provided by Universidad de San Andres, Departamento de Economia in its series Working Papers with number 95.
Length: 16 pages
Date of creation: Feb 2008
Date of revision: Feb 2008
Dynamic panel; Random effects; Error components; Local misspecification; testing;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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