Tests for unbalanced error component models under local misspecification

Sosa Escudero, Walter et al · SEDICI UNLP · 2008

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Sosa Escudero, Walter et al

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SEDICI UNLP

Year

2008

Language

English

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This paper derives unbalanced versions of the tests statistics for first order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the increasing availability of panel information where not every individual or country is observed for the full time span. Also, as it was the case of the previously available tests, the test statistics proposed here are based on the OLS residuals, and hence are computationally very simple. Trabajo publicado en <i>The Stata Journal</i>, Volume 8, Number 1, pp. 68-78. Centro de Estudios Distributivos, Laborales y Sociales (CEDLAS)

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APA 7

Sosa Escudero, W. E. A. (2008). Tests for unbalanced error component models under local misspecification. http://sedici.unlp.edu.ar/handle/10915/3624

MLA

Sosa Escudero, Walter et al. "Tests for unbalanced error component models under local misspecification." 2008. http://sedici.unlp.edu.ar/handle/10915/3624.

Chicago

Sosa Escudero, Walter et al. 2008. "Tests for unbalanced error component models under local misspecification.". http://sedici.unlp.edu.ar/handle/10915/3624.

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Sosa Escudero, W. E. A. 2008, Tests for unbalanced error component models under local misspecification, SEDICI UNLP, available at: http://sedici.unlp.edu.ar/handle/10915/3624 [Accessed 6 Aug. 2026].

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Title: Tests for unbalanced error component models under local misspecification

Author / contributors: Sosa Escudero, Walter et al

Publisher: SEDICI UNLP

Publication year: 2008

Language: English

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Economía; modelos econométricos; econometría; error components model; unbalanced panel data; testing; misspecification