The asymptotic distribution of the F‐test statistic for individual effects

DOI10.1111/j.1368-423X.2006.00191.xzbMath1106.62020MaRDI QIDQ3422391

Takashi Yamagata, Chris D. Orme

Publication date: 13 February 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

panel data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (5)

A Heteroskedasticity-RobustF-Test Statistic for Individual Effects ⋮ Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test ⋮ Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels ⋮ Five Diagnostic Tests for Unobserved Cluster Effects ⋮ Hypothesis testing in linear regression when \(k/n\) is large

Cites Work

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• Monte Carlo results on several new and existing tests for the error component model
• Robustness to nonnormality of regression \(F\)-tests
• Alternative Models for the Analysis of Variance
• Testing for Neglected Heterogeneity
• Testing the Error Components Model with Non-Normal Disturbances
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Alternative Tests of the Error Components Model
• Controlling the significance levels of prediction error tests for linear regression models
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS

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