Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Testing additive versus interactive effects in fixed-[Formula presented] panels
Author
Summary, in English
This paper proposes a new test of the null hypothesis of additive fixed effects versus the alternative of general interactive effects. This is not the only test of its kind in the literature; however, it is the only test that is valid in panels where [Formula presented] is fixed. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs well in small samples.
Department/s
- Department of Economics
Publishing year
2019
Language
English
Pages
5-8
Publication/Series
Economics Letters
Volume
174
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
Keywords
- Additive fixed effects
- Hausman test
- Interactive effects
- Panel data regression
Status
Published
ISBN/ISSN/Other
- ISSN: 0165-1765