Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Panel bootstrap tests of slope homogeneity
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2016-06-01
Language
English
Pages
1359-1381
Publication/Series
Empirical Economics
Volume
50
Issue
4
Document type
Journal article
Publisher
Physica Verlag
Topic
- Economics
Keywords
- Block bootstrap
- Panel data
- Slope homogeneity test
Status
Published
ISBN/ISSN/Other
- ISSN: 0377-7332