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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Testing additive versus interactive effects in fixed-[Formula presented] panels

Author

  • Joakim Westerlund

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