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dc.creator.AutorSosa Escudero, Walter
dc.date.accessioned2016-11-30T19:05:38Z
dc.date.available2016-11-30T19:05:38Z
dc.date.issued2007-02
dc.identifier.urihttp://hdl.handle.net/10908/11921
dc.descriptionFil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.
dc.description.abstractThis paper proposes new simple testing procedures for the joint null hypothesis of absence of persistent e®ects in the form of random e®ects and ¯rst order serial cor- relation in the error component model. The fact that the presence of random e®ects is clearly of a one-sided nature, together with the fact that in many empirical ap- plications researchers worry about positive serial correlation leaves room for a power gain that arises from restricting the parameter space under the alternative hypothesis, compared to existing procedures that allow for two-sided alternatives. A Monte Carlo experiment shows that the proposed statistics have good size and power performance in very small samples like those typically used in applied work in panel data. An empirical example illustrates the usefulness of the proposed statistics.
dc.formatapplication/pdf
dc.languageeng
dc.publisherUniversidad de San Andrés. Departamento de Economía
dc.relation.ispartofseriesDocumento de trabajo (Universidad de San Andrés. Departamento de Economía);94
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.titleTesting for persistence in the error component model : a one-sided approach
dc.typeDocumento de Trabajo
dc.typeinfo:eu-repo/semantics/workingPaper
dc.typeinfo:ar-repo/semantics/documento de trabajo
dc.typeinfo:eu-repo/semantics/draft
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