Testing for Slope Homogeneity in a Linear Panel Model with Fixed Effects and Conditional Heteroskedasticity

  • 研討會日期 : 2001-01-01
  • 時間 : 00:00
  • 主講人 : Professor Chang-Ching Lin
  • 地點 : Conference Room B110
  • 演講者簡介 : Chang-Ching Lin got his Ph.D. in Economics from University of Michigan in 2006. He is currently serving as Assistant Research Fellow of Institute of Economics, Academia Sinica. His research field is in econometric theory, panel data analysis, time series analysis and applied econometrics.
  • 演講摘要 : This paper proposes a test for slope homogeneity across units in a linear panel data model, in which additive fixed effects and conditional intra-unit heteroskedasticity are incorporated. There are various tests of parameter homogeneity in the existing literature. However, none of them is valid when time dimension is short and fixed effects and conditional heteroskedasticicty are both present. The new test is robust regardless whether or not a linear model has fixed effects or conditional heteroskedasticity even when there are many units/individuals but each only has a small number of observations. Moreover, the test can be extended to autoregressive panels by using an instrumental variable method. Its asymptotic properties are established and Monte Carlo simulation indicates that the test delivers satisfactory finite sample properties for static and autoregressive panels. As an application, our test is then used to detect the slope heterogeneity in the autoregressive models using the PSID earnings data.