Testing homogeneity in panel data models with interactive fixed effects

Econometric Theory

Volumn 29, Issue 6, 2013, Pages 1079-1135

  Su, Liangjun ^a   Chen, Qihui ^b  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84875764497     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466613000017     Document Type: Article

References (40)

1. Andrews, D.W.K. (2005) Cross-section regression with common shocks. Econometrica 73, 1551-1585
2. Anselin, L. (1988) Spatial Econometric Methods and Models. Kluwer
3. Bai, J. (2009a) Panel data models with interactive fixed effects. Econometrica 77, 1229-1279
4. Bai, J. (2009b) Supplement to Panel data models with interactive fixed effects: Technical details and proofs. Econometrica Supplementary Material.
5. Bai, J. & S. Ng (2002) Determining the number of factors in approximate factor models. Econometrica 70, 191-221
6. Bai, J. (2003) Inferential theory for factors models of large dimensions. Econometrica 71, 135-173
7. Bai, J. & S. Ng (2006) Evaluating latent and observed factors in macroeconomics and finance. Journal of Econometrics 131, 507-537
8. Baltagi, B.H., G. Bresson, & A. Pirotte (2008) To pool or not to pool? In L. Mas and P. Sevestre (eds.), The Econometrics of Panel Data, pp. 517-546, Springer-Verlag.
9. Bassanini, A. & S. Scarpetta (2002) Does human capital matter for growth in OECD countries? A pooled mean-group approach. Economics Letter 74, 399-405
10. Bernstein, D.S. (2005) Matrix Mathematics: Theory, Facts, and Formulas with Application to Linear Systems Theory. Princeton University Press.
11. Blomquist, J. (2010) A Panel Bootstrap Test for Slope Homogeneity.Working paper, Lund University.
12. Bond, S., A. Leblebicioglu, & F. Schiantarelli (2010) Capital accumulation and growth: A new look at the empirical evidence. Journal of Applied Econometrics 25, 1073-1099
13. Connor, G. & R. Korajzcyk (1998) Risk and return in an equilibrium APT application of a new test methodology. Journal of Financial Economics 21, 225-289
14. Eberhardt, M. & F. Teal (2011) Econometrics for grumblers: A new look at the literature on crosscountry growth empirics. Journal of Economic Surveys 25, 109-155
15. Fama, E.F. & K. French (1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 18, 61-90
16. Godfrey, L.G. (1988) Misspecification Tests in Econometrics: The Lagrangian Multiplier Principle and Other Approaches. Cambridge University Press.
17. Goncalves, S. & L. Kilian (2004) Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics 123, 89-120
18. Greenaway-McGrevy, R., C. Han, & D. Sul (2012) Asymptotic distribution of factor augmented estimators for panel regression. Journal of Econometrics 169, 48-53
19. Hahn, J. & G. Kuersteiner (2011) Reduction for dynamic nonlinear panel models with fixed effects. Econometric Theory 27, 1152-1191
20. Hansen, B.E. (2000) Testing for structural change in conditional models. Journal of Econometrics 97, 93-115
21. Hsiao, C. (2003) Analysis of Panel Data. Cambridge University Press.
22. Jin, S. & L. Su (2013) A nonparametric poolability test for panel data models with cross section dependence. Econometric Reviews 32, 469-512
23. Kapetanios, G. & M.H. Pesaran (2007) Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset return. In G. Phillips and E. Tzavalis (eds.), The Refinement of Econometric Estimation and Testing Procedures: Finite Sample and Asymptotic Analysis. Cambridge University Press, pp. 239-281
24. Lee, A.J. (1990) U-statistics: Theory and Practice. Marcel Dekker.
25. Lehmann, B. & D. Modest (1988) The empirical foundations of the arbitrage pricing theory. Journal of Financial Economics 21, 213-254
26. Lin, C.-C. (2010) Testing for Slope Homogeneity in a Linear Panel Model with Fixed Effects and Conditional Heteroskedasticity. Working paper, Institute of Economics, Academia Sinica.
27. Moon, H. & M. Weidner (2010a) Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects. Working paper, University of Southern California.
28. Moon, H. & M. Weidner (2010b) Dynamic Linear Panel Regression Models with Interactive Fixed Effects. Working paper, University of Southern California.
29. Pesaran, H., R. Smith, & K.S. Im (1996) Dynamic linear models for heterogeneous panels. In L. M'as and P. Sevestre (eds.), The Econometrics of Panel Data: A Handbook of the Theory with Applications, 2nd rev. ed., pp. 145-195
30. Kluwer Academic Publishers. Pesaran, M.H. (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967-1012
31. Pesaran, M.H. & E. Tosetti (2011) Large panels with common factors and spatial correlation. Journal of Econometrics 161, 182-202
32. Pesaran, M.H. & T. Yamagata (2008) Testing slope homogeneity in large panels. Journal of Econometrics 142, 50-93
33. Phillips, P.C.B. & D. Sul (2003) Dynamic panel estimation and homogeneity testing under cross section dependence. Econometrics Journal 6, 217-259
34. Pollard, D. (1984) Convergence of Stochastic Processes. Springer-Verlag.
35. Prakasa Rao, B.L.S. (2009) Conditional independence, conditional mixing and conditional association. Annals of the Institute of Statistical Mathematics 61, 441-460
36. Roussas, G.G. (2008) On conditional independence, mixing and association. Stochastic Analysis and Applications 26, 1274-1309
37. Su, L. & S. Jin (2012) Sieve estimation of panel data models with cross section dependence. Journal of Econometrics 169, 34-47
38. Su, L. & A. Ullah (2013) A nonparametric goodness-of-fit-based test for conditional heteroskedasticity. Econometric Theory, 29, 187-212
39. Sun, Y. (2005) Estimation and Inference in Panel Structure Models. Working paper, Department of Economics, University of California, San Diego.
40. Zhang, Y., L. Su, & P.C.B. Phillips (2012) Testing for common trends in semiparametric panel data models with fixed effects. Econometrics Journal 15, 56-100.