 Testing for individual and time effects in the two-way error component model with time-invariant regressorsJing Chen, Rongxian Yue and Jianhong Wu Economic Modelling, 2020, vol. 92, issue C, 216-229 Abstract: In this paper, we focus on testing for individual and time effects in the two-way error component model with time-invariant regressors. We present the so-called FEF estimators when time-invariant regressors are exogenous and the FEF-IV estimators when one or more of time-invariant variables are endogenous, and obtain their asymptotic properties under some mild conditions. In the light of the moment-based test methods of Wu and Li (2014), we construct several tests for the existence of individual and time effects in the two-way error component model with time-invariant regressors. The resulting tests can be shown to have some desired properties as follows: they do not need any distributional assumptions on the error components; they do not require any assumptions on the correlation among the two random effects and the time-varying regressors; they are robust to the presence of one effect when the other one is tested. Simulation study and real data analysis are carried out for illustration of the above. Keywords: Endogenous variable; Panel data; Random effects test; Time-invariant regressor; Two-way error component (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:92:y:2020:i:c:p:216-229 DOI: 10.1016/j.econmod.2020.01.002 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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