On the testing of heterogeneity effects in dynamic unbalanced panel data models

Economics Letters

Volumn 58, Issue 2, 1998, Pages 157-163

  Jimenez Martin, Sergi ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

C23; Monte Carlo simulation; Panel data; Sargan testing

Indexed keywords

EID: 0032220969     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(97)00278-4     Document Type: Article

References (8)

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2. Arellano, M., Bond, S., 1988. Dynamic panel data estimation using DPD: A guide for users. IFS WP 88/15, London.
3. Holtz-Eakin D. Testing for individuals effects in autoregressive models. Journal of Econometrics. 39:1988;297-307.
4. Keane M.P., Runkle D.E. On the estimation of panel-data models with serial correlation when instruments are not strictly exogenous. Journal of Business and Economics Statistics. 10:1992;1-9.
5. Maddala, G.S. (Ed.), 1993. The Econometrics of Panel Data, Vols. 1 and 2. Cambridge University Press, Cambridge.
6. Matyas, L., Sevestre, P., 1993. The Econometrics of Panel Data: Handbook of Theory and Applications. Kubler Academic.
7. Nickell S. Biases in dynamic models with fixed effects. Econometrica. 49:1981;1417-1426.
8. Sargan, J.D., 1988. Testing for misspecification after estimating using instrumental variables In: Maasoumi, E. (Ed.), Contributions to Econometrics: John Dennis Sargan, Vol. 1. Cambridge University Press, Cambridge.