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

Daisuke Yamazaki, Eiji Kurozumi

研究成果: Contribution to journalArticle査読

2 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)2874-2902
ページ数29
ジャーナルJournal of Statistical Computation and Simulation
85
14
DOI
出版ステータス出版済み - 2015
外部発表はい

All Science Journal Classification (ASJC) codes

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

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