Tests for unbalanced error-components models under local misspecification

This paper derives unbalanced versions of the test statistics for firstorder serial correlation and random individual effects summarized in Sosa-Escudero and Bera (2001, Stata Technical Bulletin Reprints, vol. 10, pp. 307–311), and updates their xttest1 routine. The derived test statistics should be useful for applied researchers faced with the increasing availability of panel information where not every individual or country is observed for the full time span. The test statistics proposed here are based on ordinary least-squares residuals and hence are computationally very simple.


Issue Date:
2008
Publication Type:
Journal Article
DOI and Other Identifiers:
sg164_1 (Other)
PURL Identifier:
http://purl.umn.edu/120929
Published in:
Stata Journal, Volume 08, Number 1
Page range:
68-78
Total Pages:
11

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 Record created 2017-04-01, last modified 2017-08-26

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