Robust tests for time-invariant individual heterogeneity versus dynamic state dependence |
| |
Authors: | Federico Zincenko Walter Sosa-Escudero Gabriel Montes-Rojas |
| |
Institution: | 1. Department of Economics, University of Pittsburgh, 230 South Bouquet St., 4713 Wesley W. Posvar Hall, Pittsburgh, PA, 15260, USA 2. Department of Economics, Universidad de San Andrés and CONICET, Vito Dumas 2874, Victoria, Buenos Aires, B1644BID, Argentina 3. CONICET-Universidad de San Andrés, Victoria, Buenos Aires, Argentina 4. Department of Economics, City University London, D306 Social Science Building, 10 Northampton Square, London, EC1V 0HB, UK
|
| |
Abstract: | We derive tests for persistent effects in a general linear dynamic panel data context. Two sources of persistent behavior are considered: time-invariant unobserved factors (captured by an individual random effect) and dynamic persistence or “state dependence” (captured by autoregressive behavior). We will use a maximum likelihood framework to derive a family of tests that help researchers learn whether persistence is due to individual heterogeneity, dynamic effect, or both. The proposed tests have power only in the direction they are designed to perform, that is, they are locally robust to the presence of alternative sources of persistence, and consequently, are able to identify which source of persistence is active. A Monte Carlo experiment is implemented to explore the finite sample performance of the proposed procedures. The tests are applied to a panel data series of real GDP growth for the period 1960–2005. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|