Pseudo-Gaussian and rank-based optimal tests for random individual effects in large \(n\) small \(T\) panels

DOI10.1016/j.jeconom.2012.02.008zbMath1443.62429OpenAlexW1988467036MaRDI QIDQ528020

Nezar Bennala, Marc Hallin, Davy Paindaveine

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000772

zbMATH Keywords

rank testslocal asymptotic normalityrandom effectspanel data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

Efficient pseudo-Gaussian and rank-based detection of random regression coefficients, NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY, Unnamed Item, Optimal tests for random effects in linear mixed models

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