Orme, C.D. and Yamagata, T. (2006) The asymptotic distribution of the F-test statistic for individual effects. Econometrics Journal, 9 (3). pp. 404-422. ISSN 1368-4221
This paper employs first-order asymptotic theory in order to establish the asymptotic distribution of the F-test statistic for fixed effects, under non-normality of the errors, when N→∞ (the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test.
|Institution:||The University of York|
|Academic Units:||The University of York > Economics and Related Studies (York)|
|Depositing User:||York RAE Import|
|Date Deposited:||12 Jun 2009 08:01|
|Last Modified:||12 Jun 2009 08:01|