A simple new test for slope homogeneity in panel data models with interactive effects

Tomohiro Ando and Jushan Bai

Economics Letters, 2015, vol. 136, issue C, 112-117

Abstract: We consider the problem of testing for slope homogeneity in high-dimensional panel data models with a factor error structure. We consider the Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically normal. Our test allows the explanatory variables to be correlated with the unobserved factors, factor loadings, or with both. Monte Carlo simulations demonstrate that the proposed test has good size control and good power.

Keywords: Cross-sectional dependence; Endogenous regressors; Slope homogeneity (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515003778
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A simple new test for slope homogeneity in panel data models with interactive effects (2014)
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:136:y:2015:i:c:p:112-117

DOI: 10.1016/j.econlet.2015.09.019

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 ().