A simple new test for slope homogeneity in panel data models with interactive effects

被引：15
|
作者：
Ando, Tomohiro [1 ]
Bai, Jushan [2 ,3 ]
机构：
[1] Univ Melbourne, Melbourne Business Sch, Carlton, Vic 3053, Australia
[2] Columbia Univ, Dept Econ, New York, NY 10027 USA
[3] Nankai Univ, Sch Finance, Tianjin, Peoples R China
来源：
ECONOMICS LETTERS | 2015年 / 136卷
基金：
美国国家科学基金会;
关键词：
Cross-sectional dependence; Endogenous regressors; Slope homogeneity; RISK;
D O I：
10.1016/j.econlet.2015.09.019
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider the problem of testing for slope homogeneity in high-dimensional panel data models with a factor error structure. We consider the Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically normal. Our test allows the explanatory variables to be correlated with the unobserved factors, factor loadings, or with both. Monte Carlo simulations demonstrate that the proposed test has good size control and good power. (C) 2015 Published by Elsevier B.V.
引用
收藏
页码：112 / 117
页数：6
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