Testing Heterogeneity in Panel Data Models with Interactive Fixed Effects

• Main Author: CHEN, Qihui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: cross-sectional dependence; goodness-of-fit; heterogeneity; interactive fixed effects; large panels; principal component analysis; Econometrics
• Online Access: https://ink.library.smu.edu.sg/etd_coll/76; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1075&context=etd_coll
• Institution: Singapore Management University

This paper proposes a test for the slope homogeneity in large dimensional panel data models with interactive fixed effects based on a measure of goodness-of-fit (R2). We first obtain, for each cross-sectional unit, the R2 from the time series regression of residuals on the constant and observable re...