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Panel bootstrap tests of slope homogeneity

Blomquist, Johan LU and Westerlund, Joakim LU (2016) In Empirical Economics 50(4). p.1359-1381
Abstract

This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.

Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Block bootstrap, Panel data, Slope homogeneity test
in
Empirical Economics
volume
50
issue
4
pages
23 pages
publisher
Physica Verlag
external identifiers
  • scopus:84937605750
  • wos:000375562000009
ISSN
0377-7332
DOI
10.1007/s00181-015-0978-z
language
English
LU publication?
yes
id
d13c1106-9f3b-465b-b4a6-2d2a44f79754
date added to LUP
2017-01-27 12:17:27
date last changed
2017-09-18 11:34:32
@article{d13c1106-9f3b-465b-b4a6-2d2a44f79754,
  abstract     = {<p>This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.</p>},
  author       = {Blomquist, Johan and Westerlund, Joakim},
  issn         = {0377-7332},
  keyword      = {Block bootstrap,Panel data,Slope homogeneity test},
  language     = {eng},
  month        = {06},
  number       = {4},
  pages        = {1359--1381},
  publisher    = {Physica Verlag},
  series       = {Empirical Economics},
  title        = {Panel bootstrap tests of slope homogeneity},
  url          = {http://dx.doi.org/10.1007/s00181-015-0978-z},
  volume       = {50},
  year         = {2016},
}