Testing Homogeneity in Panel Data Models with Interactive Fixed Effects

• المؤلفون الرئيسيون: SU, Liangjun, CHEN, Qihui
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Conditional strong mixing; Cross-sectional dependence; Heterogeneity; Interactive fixed effects; Large panels; LM test; Principal component analysis; Econometrics
• الوصول للمادة أونلاين: 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

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...