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The asymptotic distribution of the F-test statistic for individual effects

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

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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.

Item Type: Article
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
Published Version: http://dx.doi.org/10.1111/j.1368-423X.2006.00191.x
Status: Published
Publisher: Blackwell Publishing
Identification Number: 10.1111/j.1368-423X.2006.00191.x
URI: http://eprints.whiterose.ac.uk/id/eprint/6026

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