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The Asymptotic Distribution of the F-Test Statistic for Individual Effects

(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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Paper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0610.

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Date of creation: 2006
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Handle: RePEc:man:sespap:0610
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Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/

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  1. Qin, Huaizhen & Wan, Alan T.K., 2004. "ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS," Econometric Theory, Cambridge University Press, vol. 20(04), pages 690-700, August.
  2. Marc Nerlove, 1968. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections," Cowles Foundation Discussion Papers 257, Cowles Foundation for Research in Economics, Yale University.
  3. 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.
  4. Leslie G. Godfrey & Chris D. Orme, 2000. "Controlling the significance levels of prediction error tests for linear regression models," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 66-83.
  5. Moulton, Brent R & Randolph, William C, 1989. "Alternative Tests of the Error Components Model," Econometrica, Econometric Society, vol. 57(3), pages 685-93, May.
  6. Baltagi, Badi H. & Chang, Young-Jae & Li, Qi, 1992. "Monte Carlo results on several new and existing tests for the error component model," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 95-120.
  7. Ali, Mukhtar M. & Sharma, Subhash C., 1996. "Robustness to nonnormality of regression F-tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 175-205.
  8. 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.
  9. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July.
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