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dc.contributor.authorJochmans, Koenen
dc.date.accessioned2019-03-05T15:54:13Z
dc.date.available2019-03-05T15:54:13Z
dc.date.issued2019-01-25en
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/290224
dc.description.abstractThis paper concerns linear models for grouped data with group-specific effects. We construct a test for the null of no within-group correlation beyond that induced by the group-specific effect. The approach tests against correlation of arbitrary form while allowing for (conditional) heteroskedasticity. Our setup covers models with exogenous, predetermined, or endogenous regressors. We provide theoretical results on size and power under asymptotics where the number of groups grows but their size is held fixed. In simulation experiments we find good size control and high power in a wide range of designs. We also find that our test is more powerful than the popular test developed by Arellano and Bond (1991), which uses only a subset of the information used by our procedure.en
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.subjectanalysis of varianceen
dc.subjectclustered standard errorsen
dc.subjecterror componentsen
dc.subjectfixeden
dc.subjectheteroskedasticityen
dc.subjectwithin-group correlationen
dc.subjectPortmanteau testen
dc.subjectshort panel dataen
dc.titleTesting for Correlation in Error-Component Modelsen
dc.typeWorking Paper
prism.issueIdentifierCWPE1910en
prism.publicationDate2019en
prism.publicationNameCambridge Working Papers in Economicsen
dc.identifier.doi10.17863/CAM.37451
rioxxterms.versionofrecord10.17863/CAM.37451en
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2019-01-25en
dc.contributor.orcidJochmans, Koen [0000-0002-3090-3003]
rioxxterms.typeWorking Paperen
pubs.funder-project-idEuropean Commission Horizon 2020 (H2020) ERC (715787)
dc.identifier.urlhttp://www.econ.cam.ac.uk/research/cwpe-abstracts?cwpe=1910en


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