INVESTIGADORES
SOSA ESCUDERO Walter Esteban
artículos
Título:
Robust tests for time-invariant individual heterogeneity vs. dynamic state dependence
Autor/es:
WALTER SOSA ESCUDERO; GABRIEL MONTES ROJAS; FEDERICO ZINCENKO
Revista:
Empirical Economics
Editorial:
Springer
Referencias:
Lugar: Viena; Año: 2014 vol. 47 p. 1365 - 1387
Resumen:
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.