Panel bootstrap tests of slope homogeneity

Empirical Economics - Tập 50 - Trang 1359-1381 - 2015
Johan Blomquist1, Joakim Westerlund2,3
1AgriFood Economics Center, Department of Economics, Swedish University of Agricultural Sciences, Uppsala, Sweden
2Department of Economics, Lund University, Lund, Sweden
3Financial Econometrics Group, Centre for Research in Economics and Financial Econometrics, Deakin University, Geelong, Australia

Tóm tắt

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.

Tài liệu tham khảo

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