Indexed by:Journal paper

First Author:Liangjun Su

Correspondence Author:Jie Wei

Co-author: Yonghui Zhang, Jie Wei

Journal:Economics Letters

Included Journals:SCI

Affiliation of Author(s):Huazhong Univ. of S&T

Place of Publication:USA

Discipline:Economics

First-Level Discipline:Applied Economics

Funded by:the Fundamental Research Funds for the Central Universities, HUST

Document Type:J

Volume:147

Issue:10

Page Number:27-31

ISSN No.:0165-1765

Key Words:Bootstrap, Fixed effects, Panel data, Strict exogeneity, Wald test

Date of Publication:2016-08-16

Abstract:This paper provides a practical test for strict exogeneity in linear panel data models with fixed effects when the number of individuals $N$ goes to infinity while the number of time periods $T$ is fixed. The test is based on the supremum of a sequence of Wald test statistics. Under suitable conditions, we establish the asymptotic distribution of the test statistic and consistency of the test. A bootstrap procedure is proposed to improve the finite sample performance and the validity of the procedure is justified. We investigate the finite sample performance of the test via a small set of Mont

Links to published journals:http://dx.doi.org/10.1016/j.econlet.2016.08.012