Testing for no factor structures: On the use of Hausman-type statistics

Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani ()

Economics Letters, 2015, vol. 130, issue C, 66-68

Abstract: Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai (2009; see also Song, 2013). We show that tests based on either estimators cannot be employed directly, and either need further assumptions than those required for the simple purpose of estimation, or bias corrections, or cannot be used altogether.

Keywords: Large panels; Testing for factor structure; Hausman-type test (search for similar items in EconPapers)
JEL-codes: C12 C33 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515000907
Full text for ScienceDirect subscribers only

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:eee:ecolet:v:130:y:2015:i:c:p:66-68

DOI: 10.1016/j.econlet.2015.02.030

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().