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Testing additive versus interactive effects in fixed-[Formula presented] panels

Westerlund, Joakim LU (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.

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author
organization
publishing date
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
2018-11-21 21:43:16
@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},
  keyword      = {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},
  volume       = {174},
  year         = {2019},
}