TY - JOUR
T1 - Testing for parameter constancy in the time series direction in panel data models
AU - Yamazaki, Daisuke
AU - Kurozumi, Eiji
N1 - Funding Information:
Daisuke Yamazaki gratefully acknowledges the financial support by the JSPS Research Fellowship for Young Scientists [grants-in-aid no. 12J04741]. Kurozumi’s research was partially supported by JSPS and BA under the Japan-Britain Research Cooperative Program and by the Ministry of Education, Culture, Sports, Science and Technology [grants-in-aid nos. 23243038 and 24243031].
Publisher Copyright:
© 2014 Taylor & Francis.
PY - 2015
Y1 - 2015
N2 - 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.
AB - 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.
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U2 - 10.1080/00949655.2014.945089
DO - 10.1080/00949655.2014.945089
M3 - Article
AN - SCOPUS:84943659040
VL - 85
SP - 2874
EP - 2902
JO - Journal of Statistical Computation and Simulation
JF - Journal of Statistical Computation and Simulation
SN - 0094-9655
IS - 14
ER -