LM test for outliers in panel data model

被引：0

作者：

Chen, Yeqiong ^{[1
]}

Shi, Lei ^{[1
]}

机构：

[1] Yunnan Univ Finance & Econ, Sch Math & Stat, Kunming 650221, Yunnan, Peoples R China

来源：

PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008 | 2008年

关键词：

panel data model; outliers; test; LM statistic;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the detection of outliers in static panel data model, which include the fixed and random individual effects. We suggest a variance-shift model to study the multiple outliers and derive the LM statistic. A simulation data and a real data are used for illustrations.

引用

页码：282 / 285

页数：4

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