Testing for parameter constancy in the time series direction in panel data models

Daisuke Yamazaki, Eiji Kurozumi

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We propose tests for parameter constancy in the time series direction in panel data models.We construct a locally best invariant test based on Tanaka [Time series analysis: nonstationary and noninvertible distribution theory. NewYork:Wiley; 1996] and an asymptotically point optimal test based on Elliott and Müller [Efficient tests for general persistent time variation in regression coefficients. Rev Econ Stud. 2006;73:907-940]. We derive the limiting distributions of the test statistics as T →∞while N is fixed, and calculate the critical values by applying numerical integration and response surface regression. Simulation results show that the proposed tests perform well if we apply them appropriately.

Original languageEnglish
Pages (from-to)2874-2902
Number of pages29
JournalJournal of Statistical Computation and Simulation
Volume85
Issue number14
DOIs
Publication statusPublished - Jan 1 2015
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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