Finite sample performance of specification tests for correlated random effects quantile panel regressions

Samiul Haque and Michael S. Delgado

Applied Economics Letters, 2017, vol. 24, issue 8, 515-519

Abstract: We investigate the finite sample performance of the Abrevaya and Dahl (2008) test for coefficient heterogeneity for a correlated random effects ‘mean’ (CREM) panel quantile regression estimator. We assess size and power of the test over a range of sample sizes and panel dimensions. The test is undersized for small-to-moderate sample sizes and displays low power even with a high degree of heteroscedasticity. Size and power improve substantially in larger samples. Our results provide insight for applied researchers.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2016.1208344 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:24:y:2017:i:8:p:515-519

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2016.1208344

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().