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
收藏
页码：282 / 285
页数：4
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