Tests for dynamic effects in linear panel data models
Date
2007-11
Authors
Zincenko, Federico
Sosa Escudero, Walter
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Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
This paper proposes simple tests to detect dynamic and random effects in linear
panel data models, in the form of lagged dependent variables and random effects. We
use the analytical framework of Bera and Yoon (1993) to derive tests for the presence
of random effects, lagged dependent variables, or both. All test statistics can be computed
based on pooled OLS estimates, and hence can serve as a useful specification
search tool to validate the adoption of a dynamic model.
Description
Fil: Zincenko, Federico. Universidad de San Andrés. Departamento de Economía; Argentina.
Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.
Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.