IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Estimation of and testing for random effects in dynamic panel data models

  • Jianhong Wu

    ()

  • Lixing Zhu

    ()

In this article, estimation of moments up to the fourth order of random effects and errors is first investigated for dynamic panel data models. Using the QR decomposition of a matrix, the moments of random individual effects and errors are estimated without affecting each other so that the estimation procedure is simple to implement, and the asymptotic behavior of estimation is derived. On the basis of these estimations, we construct a test for the existence of individual effects. This test is asymptotically normally distributed under the null hypothesis without any distributional assumptions on the individual effects and errors other than moments. A power study shows that our test is able to detect local alternatives that are distinct from the null at a parametric rate. Monte Carlo simulations are carried out for illustration. Copyright Sociedad de Estadística e Investigación Operativa 2012

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1007/s11749-011-0259-x
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Springer in its journal TEST.

Volume (Year): 21 (2012)
Issue (Month): 3 (September)
Pages: 477-497

as
in new window

Handle: RePEc:spr:testjl:v:21:y:2012:i:3:p:477-497
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=120411

Order Information: Web: http://link.springer.de/orders.htm

References listed on IDEAS
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.:

as in new window
  1. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1321-1342, October.
  2. Richard Blundell & Stephen Bond, 2000. "GMM Estimation with persistent panel data: an application to production functions," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
  3. Yamagata, Takashi, 2008. "A joint serial correlation test for linear panel data models," Journal of Econometrics, Elsevier, vol. 146(1), pages 135-145, September.
  4. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  5. Zaixing Li & Lixing Zhu, 2010. "On Variance Components in Semiparametric Mixed Models for Longitudinal Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 442-457.
  6. Ping Wu & Li Xing Zhu, 2010. "An Orthogonality-Based Estimation of Moments for Linear Mixed Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(2), pages 253-263.
  7. María José Lombardía & Stefan Sperlich, 2008. "Semiparametric inference in generalized mixed effects models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 913-930.
  8. J. D. Opsomer & G. Claeskens & M. G. Ranalli & G. Kauermann & F. J. Breidt, 2008. "Non-parametric small area estimation using penalized spline regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 265-286.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:21:y:2012:i:3:p:477-497. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)

or (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.