INVESTIGADORES
SOSA ESCUDERO Walter Esteban
artículos
Título:
Testing for Heteroskedasticity in Fixed Effects Models
Autor/es:
WALTER SOSA ESCUDERO; TED JUHL
Revista:
JOURNAL OF ECONOMETRICS
Editorial:
ELSEVIER SCIENCE SA
Referencias:
Lugar: Amsterdam; Año: 2014 vol. 178 p. 484 - 494
ISSN:
0304-4076
Resumen:
We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a ?large N?fixed T? framework, where the incidental parameters problem is bypassed by utilizing a (pseudo) likelihood function conditional on the sufficient statistic for these parameters. A simple ?studentization? produces distribution free tests that can easily be implemented using an artificial regression based on residuals after fixed effects estimation. A Monte Carlo exploration suggests that the tests perform well in small samples such as those encountered in practice.
