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The asymptotic distribution of the F-test statistic for individual effects

Chris Orme () and Takashi Yamagata

Econometrics Journal, 2006, vol. 9, issue 3, 404-422

Abstract: (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. Copyright Royal Economic Society 2006

Date: 2006
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