Finite sample performance of specification tests for correlated random effects quantile panel regressions

被引：2

作者：

Haque, Samiul ^{[1
]}

Delgado, Michael S. ^{[2
]}

机构：

[1] Macalester Coll, Dept Econ, St Paul, MN 55105 USA

[2] Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA

来源：

APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 08期

关键词：

Correlated random effects; hypothesis testing; Monte Carlo; panel; quantile; MODELS;

D O I：

10.1080/13504851.2016.1208344

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the finite sample performance of the Abrevaya and Dahl (2008) test for coefficient heterogeneity for a correlated random effects mean' (CREM) panel quantile regression estimator. We assess size and power of the test over a range of sample sizes and panel dimensions. The test is undersized for small-to-moderate sample sizes and displays low power even with a high degree of heteroscedasticity. Size and power improve substantially in larger samples. Our results provide insight for applied researchers.

引用

页码：515 / 519

页数：5

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