Testing for no factor structures: on the use of average-type and Hausman-type statistics

Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani ()

No 92, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: Castagnetti, Rossi and Trapani (2014) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. We investigate the use of alternative approaches as average-type and Hausman-type statistics. We show that both approaches can not be used. The average-type statistics diverge under the null, while the tests based on the Hausman principle are inconsistent.

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)
Pages: 16 pages
Date: 2014-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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