A simple new test for slope homogeneity in panel data models with interactive effects

Tomohiro Ando, Jushan Bai

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We consider the problem of testing for slope homogeneity in high-dimensional panel data models with a factor error structure. We consider the Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically normal. Our test allows the explanatory variables to be correlated with the unobserved factors, factor loadings, or with both. Monte Carlo simulations demonstrate that the proposed test has good size control and good power.

本文言語English
ページ(範囲)112-117
ページ数6
ジャーナルEconomics Letters
136
DOI
出版ステータスPublished - 2015 11月 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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