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Tests for Unbalanced Error Components Models Under Local Misspecification

Author

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  • Walter Sosa Escudero

    (Department of Economics, Universidad de San Andres)

  • Anil K. Bera

    (University of Illinois)

Abstract

This paper derives unbalanced versions of the test statistics for first- order serial correlation and random individual effects summarized in Sosa-Escudero and Bera (2001, Stata Technical Bulletin Reprints, vol. 10, pp. 307–311), and up- dates their xttest1 routine. The derived test 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. The test statis- tics proposed here are based on ordinary least-squares residuals and hence are computationally very simple. Copyright 2008 by StataCorp LP.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Walter Sosa Escudero & Anil K. Bera, 2005. "Tests for Unbalanced Error Components Models Under Local Misspecification," Working Papers 81, Universidad de San Andres, Departamento de Economia, revised Dec 2007.
    • Handle: RePEc:sad:wpaper:81
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    2. Gameli Adika, 2020. "Economic growth dynamics between resource‐rich and resource‐poor countries in sub‐Saharan Africa: The role of politics and institutions," African Development Review, African Development Bank, vol. 32(3), pages 303-315, September.
    3. Lars P. Feld & Jost H. Heckemeyer, 2011. "Fdi And Taxation: A Meta‐Study," Journal of Economic Surveys, Wiley Blackwell, vol. 25(2), pages 233-272, April.
    4. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
    5. Meller, Leandro & Larrosa, Juan M.C. & Delbianco, Fernando & Ramírez Muñoz de Toro, Gonzalo & Uriarte, Juan Ignacio, 2021. "Inflación semanal en galletitas: un enfoque de datos de panel. || Weekly Cookie Inflation: A Panel Data Approach," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 31(1), pages 417-440, June.
    6. Li, Shi & Li, Meng & Fu, Rongsha, 2024. "A sustainable pandemic response: The impact of COVID-19 vaccination coverage on economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 316-332.
    7. Juan M. C. Larrosa & Victoria Giordano & Gonzalo R. Ramírez Muñoz de Toro & Juan I. Uriarte, 2022. "Marketing attributes in yogurt weekly pricing in Argentina," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 21(3), pages 332-343, June.

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