Testing for heteroskedasticity in fixed effects models

Ted Juhl and Walter Sosa-Escudero
Authors registered in the RePEc Author Service: Walter Sosa Escudero ()

Journal of Econometrics, 2014, vol. 178, issue P3, 484-494

Abstract: We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a ‘large N–fixed T’ framework, where the incidental parameters problem is bypassed by utilizing a (pseudo) likelihood function conditional on the sufficient statistic for these parameters. A simple ‘studentization’ produces distribution free tests that can easily be implemented using an artificial regression based on residuals after fixed effects estimation. A Monte Carlo exploration suggests that the tests perform well in small samples such as those encountered in practice.

Keywords: Heteroskedasticity; Panel data (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p3:p:484-494

DOI: 10.1016/j.jeconom.2013.07.005

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