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
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (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 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:6026 |