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

Autor:	Chris D. Orme, Takashi Yamagata
Rok vydání:	2006
Předmět:	Economics and Econometrics Asymptotic analysis F-test Statistics Order (group theory) Applied mathematics Asymptotic distribution Fixed effects model Random effects model Statistic Mathematics Panel data
Zdroj:	The Econometrics Journal. 9:404-422
ISSN:	1368-423X 1368-4221
DOI:	10.1111/j.1368-423x.2006.00191.x
Popis:	This paper employs first-order asymptotic theory in order to establish the asymptotic distribution of the F-test statistic for fixed effects, under non-normality of the errors, when N→∞ (the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::117f3ff91f5316dd0d4b09c9043d2c94 https://doi.org/10.1111/j.1368-423x.2006.00191.x Zobrazit plný text záznamu Plný text ve formátu PDF