Hausman-type tests for individual and time effects in the panel regression model with incomplete data |
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Authors: | Jing Chen Rongxian Yue Jianhong Wu |
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Institution: | College of Mathematics and Science, Shanghai Normal University, Shanghai 200234, China |
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Abstract: | By comparing estimators of the variance of idiosyncratic error at different robust levels, two Hausman-type test statistics are respectively constructed for the existence of individual and time effects in the panel regression model with incomplete data. The resultant test statistics have several desired properties. Firstly, they are robust to the presence of one effect when the other is tested. Secondly, they are immune to the non-normal distribution of the disturbances since the distributional conditions are not needed in the construction of the statistics. Thirdly, they have more robust performances than the main competitors in the literature when the covariates are correlated with the effects. Additionally, they are very simple and have no heavy computational burden. Joint tests for both of the two effects are also discussed. Monte Carlo evidence shows that the proposed tests have desired finite sample properties, and a real data analysis gives further support. |
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Keywords: | 62F05 62H15 Error component models Hausman-type tests Incomplete panels Moment estimation Random effects |
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