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 language | English |
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Pages (from-to) | 2874-2902 |
Number of pages | 29 |
Journal | Journal of Statistical Computation and Simulation |
Volume | 85 |
Issue number | 14 |
DOIs | |
Publication status | Published - Jan 1 2015 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modelling and Simulation
- Statistics, Probability and Uncertainty
- Applied Mathematics