Testing for Individual Effects in Dynamic Models Using Panel Data

Holtz-Eakin, Douglas

Testing for Individual Effects in Dynamic Models Using Panel Data

Douglas Holtz-Eakin

No 57, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This note presents a simple, linear test for individual effects in dynamic models using panel data; building upon the techniques of Holtz-Eakin, Newey, and Rosen (HNR) [198S] for estimating vector autoregressions using panel data. While implementing estimators which are consistent in the presence of individual effects is straightforward, there is no guarantee that this form of heterogeneity is an -important feature of the data. Moreover, there are advantages to avoiding an individual v effects specification. Thus, it is useful to have a test for the existence of individual effects. The test focuses on sample moment conditions implied by the presence of individual effects and is particularly suited for dynamic models using panel data. The calculations follow directly from linear, instrumental variable techniques which are computationally straightforward. Moreover, the test statistics follows directly from the estimation of autoregressive models.

Date: 1986-06
Note: PE
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Published as Journal of Econometrics, vol. 39, pp. 297-307, 1988.

Downloads: (external link)
http://www.nber.org/papers/t0057.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberte:0057

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0057

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().