Panel bootstrap tests of slope homogeneity

Sammanfattning

This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.

Nyckelord

Panel data; Slope homogeneity test; Block bootstrap

Publicerad i

Empirical Economics
2016, volym: 50, nummer: 4, sidor: 1359-1381
Utgivare: PHYSICA-VERLAG GMBH & CO

SLU författare

• Blomquist, Johan

  • Institutionen för ekonomi, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Sannolikhetsteori och statistik
Nationalekonomi

Publikationens identifierare

• DOI: https://doi.org/10.1007/s00181-015-0978-z

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/77083