The Asymptotic Distribution of The F-Test Statistic For Individual Effects  

Oleh:

Orme, Chris D. ; Yamagata, Takashi

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 3 (2006), page 404-422.
Topik: statistic; F - test; fixed effects; panel data; random effects
Fulltext: 404.pdf (278.97KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

This paper employs first - order asymptotic theory in order to establish the asymptotic distribution of the F - test statistic for fixed effects, under non-normality of the errors, when N --> 8 (the number of cross - sections) and T is fixed (the number of time periods). Three theoretical results emerge : (i) the standard F - test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F - test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F - test will have higher asymptotic power than the random effects test.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali