Tests for Dynamic Effects in Linear Panel Data Models
Walter Sosa Escudero () and
Federico Zincenko ()
No 95, Working Papers from Universidad de San Andres, Departamento de Economia
This paper proposes simple tests to detect dynamic and random effects in linear panel data models, in the form of lagged dependent variables and random effects. We use the analytical framework of Bera and Yoon (1993) to derive tests for the presence of random effects, lagged dependent variables, or both. All test statistics can be computed based on pooled OLS estimates, and hence can serve as a useful specification search tool to validate the adoption of a dynamic model.
Keywords: Dynamic panel; Random effects; Error components; Local misspecification; testing (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2008-02, Revised 2008-02
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https://webacademicos.udesa.edu.ar/pub/econ/doc95.pdf First version, 2008 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:sad:wpaper:95
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