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Tests for Dynamic Effects in Linear Panel Data Models

  • Walter Sosa Escudero

    ()

    (Department of Economics, Universidad de San Andres)

  • Federico Zincenko

    (Department of Economics, Universidad de San Andres)

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.

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File URL: ftp://webacademicos.udesa.edu.ar/pub/econ/doc95.pdf
File Function: First version, 2008
Download Restriction: no

Paper provided by Universidad de San Andres, Departamento de Economia in its series Working Papers with number 95.

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Length: 16 pages
Date of creation: Feb 2008
Date of revision: Feb 2008
Handle: RePEc:sad:wpaper:95
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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
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