A practical test for strict exogeneity in linear panel data models with fixed effects

A practical test for strict exogeneity in linear panel data models with fixed effects

This paper provides a practical test for strict exogeneity in linear panel data models with fixed effects when the number of individuals N goes to infinity while the number of time periods T is fixed. The test is based on the supremum of a sequence of Wald test statistics. Under suitable conditions,...

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Bibliographic Details
Main Authors: SU, Liangjun, ZHANG, Yonghui, WEI, Jie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Bootstrap
Fixed effects
Panel data
Strict exogeneity
Wald test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1936
https://ink.library.smu.edu.sg/context/soe_research/article/2935/viewcontent/PracticalTestStrictExogenityLinearPanelModels_20160715_pp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1936
https://ink.library.smu.edu.sg/context/soe_research/article/2935/viewcontent/PracticalTestStrictExogenityLinearPanelModels_20160715_pp.pdf

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