Tests for Dynamic Effects in Linear Panel Data Models
This 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.
|Date of creation:||Feb 2008|
|Date of revision:||Feb 2008|
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- 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.
- Anil Bera & Walter Sosa Escudero & Mann Yoon, 2000. "Test for the Error Component Model in the Presence of Local Misspecification," Department of Economics, Working Papers 022, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Anil K. Bera & Walter Sosa Escudero & Mann Yoon, 2000. "Tests for the Error Component Model in the Presence of Local Misspecification," Econometric Society World Congress 2000 Contributed Papers 1888, Econometric Society.
- T. S. Breusch & A. R. Pagan, 1980.
"The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics,"
Review of Economic Studies,
Oxford University Press, vol. 47(1), pages 239-253.
- Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP 412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
- Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, vol. 51(6), pages 1635-59, November.
- 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.
- 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.
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