Tests for Unbalanced Error Component Models Under Local Misspecication

Walter Sosa Escudero () and Anil K. Bera
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Anil K. Bera: Department of Economics University of Illinois

CEDLAS, Working Papers from CEDLAS, Universidad Nacional de La Plata

Abstract: This paper derives unbalanced versions of the tests statistics for ¯rst order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the increasing availability of panel information where not every individual or country is observed for the full time span. Also, as it was the case of the previously available tests, the test statistics proposed here are based on the OLS residuals, and hence are computationally very simple.

Keywords: error components model; unbalanced panel data; testing; misspecification. (search for similar items in EconPapers)
JEL-codes: C12 C23 C52 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2008-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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