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

Tomohiro Ando and Jushan Bai

MPRA Paper from University Library of Munich, Germany

Abstract: We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a 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 predictors; Slope homogeneity (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Date: 2014-12-21
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/60994/9/MPRA_paper_60994.pdf revised version (application/pdf)

Related works:
Journal Article: A simple new test for slope homogeneity in panel data models with interactive effects (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:60795

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