Panel bootstrap tests of slope homogeneity

Abstract

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.

Keywords

Panel data; Slope homogeneity test; Block bootstrap

Published in

Empirical Economics
2016, volume: 50, number: 4, pages: 1359-1381
Publisher: PHYSICA-VERLAG GMBH & CO

SLU Authors

• Blomquist, Johan

  • Department of Economics, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Probability Theory and Statistics
Economics

Publication identifier

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

Permanent link to this page (URI)

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