Robustness of Tests for Error Components Models to Nonnormality

Pierre Blanchard and Laszlo Matyas

No 267433, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: comprehensive empirical evaluation is presented of the sensitivity to nonnormality of the main tests for individual effects in a one—way error components panel data model.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 20
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267433

DOI: 10.22004/ag.econ.267433

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