Testing Homogeneity in Panel Data Models with Interactive Fixed Effects

• Main Authors: SU, Liangjun, CHEN, Qihui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Conditional strong mixing; Cross-sectional dependence; Heterogeneity; Interactive fixed effects; Large panels; LM test; Principal component analysis; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1434; https://ink.library.smu.edu.sg/context/soe_research/article/2433/viewcontent/homogeneity_main_20130111.pdf
• Institution: Singapore Management University

This paper proposes a residual-based LM test for slope homogeneity in large dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals, and then use them to construct our LM test statistic. We show that after bein...