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Tests for Unbalanced Error Component Models Under Local Misspecication

  • Walter Sosa Escudero

    ()

    (Department of Economics Universidad de San Andrés)

  • Anil K. Bera

    (Department of Economics University of Illinois)

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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File URL: http://cedlas.econo.unlp.edu.ar/archivos_upload/doc_cedlas65.pdf
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Paper provided by CEDLAS, Universidad Nacional de La Plata in its series CEDLAS, Working Papers with number 0065.

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Length: 17 pages
Date of creation: Mar 2008
Date of revision:
Handle: RePEc:dls:wpaper:0065
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Web page: http://cedlas.econo.unlp.edu.ar/

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  1. Leopoldo Tornarolli, 2007. "Metodología para el Análisis de la Pobreza Rural," CEDLAS, Working Papers 0058, CEDLAS, Universidad Nacional de La Plata.
  2. Leonardo Gasparini, 2005. "Income Inequality in Latin America and the Caribbean: Evidence from Household Surveys," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 29-57, January-D.
  3. Martín Cicowiez & Leonardo Gasparini & Federico Gutierrez & Leopoldo Tornarolli, 2006. "Areas Rurales y Objetivos de Desarrollo del Milenio en America Latina y el Caribe," CEDLAS, Working Papers 0043, CEDLAS, Universidad Nacional de La Plata.
  4. Rafael Di Tella & Sebastian Galiani & Ernesto Schargrodsky, 2010. "Crime Distribution and Victim Behavior during a Crime Wave," NBER Chapters, in: The Economics of Crime: Lessons for and from Latin America, pages 175-204 National Bureau of Economic Research, Inc.
  5. Matías Horenstein & Sergio Olivieri, 2004. "Polarización del Ingreso en la Argentina: Teoría y Aplicación de la Polarización Pura del Ingreso," CEDLAS, Working Papers 0015, CEDLAS, Universidad Nacional de La Plata.
  6. Walter Sosa-Escudero & Anil K. Bera, 2001. "Specification tests for linear panel data models," Stata Technical Bulletin, StataCorp LP, vol. 10(61).
  7. Honda, Yuzo, 1985. "Testing the Error Components Model with Non-normal Disturbances," Review of Economic Studies, Wiley Blackwell, vol. 52(4), pages 681-90, October.
  8. 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.
  9. Leonardo Gasparini & Federico Gutiérrez & Leopoldo Tornarolli, 2005. "Growth and Income Poverty in Latin America and the Caribbean: Evidence from Household Surveys," CEDLAS, Working Papers 0030, CEDLAS, Universidad Nacional de La Plata.
  10. Gasparini, Leonardo & Alejo, Javier & Haimovich, Francisco & Olivieri, Sergio & Tornarolli, Leopoldo, 2007. "Poverty among the Elderly in Latin America and the Caribbean," MPRA Paper 42957, University Library of Munich, Germany.
  11. Mariana Marchionni & Leonardo Gasparini, 2007. "Tracing out the effects of demographic changes on the income distribution," Journal of Economic Inequality, Springer, vol. 5(1), pages 97-114, April.
  12. Ricardo Bebczuk & Francisco Haimovich, 2007. "MDGs and Microcredit: An Empirical Evaluation for Latin American Countries," CEDLAS, Working Papers 0048, CEDLAS, Universidad Nacional de La Plata.
  13. Mariana Marchionni, 2005. "Labor Participation and Earnings for Young Women in Argentina," CEDLAS, Working Papers 0029, CEDLAS, Universidad Nacional de La Plata.
  14. 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.
  15. Mariana Marchionni & Germán Bet & Ana Pacheco, 2007. "Empleo, Educación y Entorno Social de los Jóvenes: Una Nueva Fuente de Información," CEDLAS, Working Papers 0061, CEDLAS, Universidad Nacional de La Plata.
  16. Martín Guzmán & Ezequiel Molina, 2006. "Desigualdad e Instituciones en una Dimensión Intertemporal," CEDLAS, Working Papers 0042, CEDLAS, Universidad Nacional de La Plata.
  17. Gasparini, Leonardo C. & Pinto, Santiago M., 2006. "Equality of opportunity and optimal cash and in-kind policies," Journal of Public Economics, Elsevier, vol. 90(1-2), pages 143-169, January.
  18. Sebastian Galiani & Daniel Heymann & Carlos Dabus & Fernando Tohme, 2005. "Land-Rich Economies, Education and Economic Development," Working Papers 85, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
  19. Anand, Sudhir & Kanbur, S. M. R., 1993. "Inequality and development A critique," Journal of Development Economics, Elsevier, vol. 41(1), pages 19-43, June.
  20. Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(04), pages 649-658, August.
  21. Leonardo Gasparini & Francisco Haimovich & Hernán Winkler, 2006. "Distribución del Ingreso en América Latina: Explorando las Diferencias entre Países," CEDLAS, Working Papers 0034, CEDLAS, Universidad Nacional de La Plata.
  22. Gustavo Javier Canavire-Bacarreza & Luís Fernando Lima Soria, 2007. "Unemployment Duration and Labor Mobility in Argentina: A Socioeconomic-Based Pre- and Post-Crisis Analysis," CEDLAS, Working Papers 0054, CEDLAS, Universidad Nacional de La Plata.
  23. Francisco Haimovich & Hernán Winkler, 2005. "Pobreza Rural y Urbana en Argentina: Un Análisis de Descomposiciones," CEDLAS, Working Papers 0024, CEDLAS, Universidad Nacional de La Plata.
  24. Leonardo Gasparini, 2005. "Protección Social y Empleo en América Latina: Estudio sobre la Base de Encuestas de Hogares," CEDLAS, Working Papers 0017, CEDLAS, Universidad Nacional de La Plata.
  25. Paula Giovagnoli & Georgina Pizzolitto & Julieta Trías, 2005. "Monitoring the Socio-Economic Conditions in Chile," CEDLAS, Working Papers 0019, CEDLAS, Universidad Nacional de La Plata.
  26. Baltagi, Badi H. & Li, Qi, 1991. "A joint test for serial correlation and random individual effects," Statistics & Probability Letters, Elsevier, vol. 11(3), pages 277-280, March.
  27. Walter Sosa-Escudero & Mariana Marchionni & Omar Arias, 2006. "Sources of Income Persistence: Evidence from Rural El Salvador," CEDLAS, Working Papers 0037, CEDLAS, Universidad Nacional de La Plata.
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