Tests for unbalanced error-components models under local misspecification

Walter Sosa-Escudero () and Anil K. Bera
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Walter Sosa-Escudero: Department of Economics, Universidad de San Andres
Anil K. Bera: Department of Economics, University of Illinois at Urbana-Champaign
Authors registered in the RePEc Author Service: Walter Sosa Escudero ()

Stata Journal, 2008, vol. 8, issue 1, pages 68-78

Abstract: This paper derives unbalanced versions of the test statistics for first- order serial correlation and random individual effects summarized in Sosa-Escudero and Bera (2001, Stata Technical Bulletin Reprints, vol. 10, pp. 307–311), and up- dates their xttest1 routine. The derived test 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. The test statis- tics proposed here are based on ordinary least-squares residuals and hence are computationally very simple. Copyright 2008 by StataCorp LP.

Keywords: xttest1; error-components model; unbalanced panel data; testing; misspecification (search for similar items in EconPapers)
Date: 2008
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