Tests for unbalanced error-components models under local misspecification
Walter Sosa-Escudero
Department of Economics
Universidad de San Andrés
Buenos Aires, Argentina
[email protected]
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Anil K. Bera
Department of Economics
University of Illinois at Urbana–Champaign
Champaign, IL
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Abstract. 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.
View all articles by these authors:
Walter Sosa-Escudero, Anil K. Bera
View all articles with these keywords:
xttest1, error-components model, unbalanced panel data, testing, misspecification
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