Testing additive versus interactive effects in fixed-[Formula presented] panels
(2019) In Economics Letters 174. p.5-8- Abstract
This paper proposes a new test of the null hypothesis of additive fixed effects versus the alternative of general interactive effects. This is not the only test of its kind in the literature; however, it is the only test that is valid in panels where [Formula presented] is fixed. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs well in small samples.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/7441aed5-afbd-4590-ad26-c8da4b10989a
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2019
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Additive fixed effects, Hausman test, Interactive effects, Panel data regression
- in
- Economics Letters
- volume
- 174
- pages
- 4 pages
- publisher
- Elsevier
- external identifiers
-
- scopus:85055571237
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2018.10.016
- language
- English
- LU publication?
- yes
- id
- 7441aed5-afbd-4590-ad26-c8da4b10989a
- date added to LUP
- 2018-11-14 08:31:28
- date last changed
- 2022-04-25 18:52:18
@article{7441aed5-afbd-4590-ad26-c8da4b10989a,
abstract = {{<p>This paper proposes a new test of the null hypothesis of additive fixed effects versus the alternative of general interactive effects. This is not the only test of its kind in the literature; however, it is the only test that is valid in panels where [Formula presented] is fixed. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs well in small samples.</p>}},
author = {{Westerlund, Joakim}},
issn = {{0165-1765}},
keywords = {{Additive fixed effects; Hausman test; Interactive effects; Panel data regression}},
language = {{eng}},
pages = {{5--8}},
publisher = {{Elsevier}},
series = {{Economics Letters}},
title = {{Testing additive versus interactive effects in fixed-[Formula presented] panels}},
url = {{http://dx.doi.org/10.1016/j.econlet.2018.10.016}},
doi = {{10.1016/j.econlet.2018.10.016}},
volume = {{174}},
year = {{2019}},
}