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个人信息Personal Information
副教授 硕士生导师
性别：男
在职信息：在职
所在单位：经济学院
学历：研究生(博士)毕业
学位：经济学博士学位
毕业院校：美国加州大学河滨分校
学科：数量经济学
金融学
A Practical Test for Strict Exogeneity in Linear Panel Data Models with Fixed Effects
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论文类型：期刊论文
第一作者：Liangjun Su
通讯作者：Jie Wei
合写作者： Yonghui Zhang, Jie Wei
发表刊物：Economics Letters
收录刊物：SCI
所属单位：Huazhong Univ. of S&T
刊物所在地：美国
学科门类：经济学
一级学科：应用经济学
项目来源：the Fundamental Research Funds for the Central Universities, HUST
文献类型：J
卷号：147
期号：10
页面范围：27-31
ISSN号：0165-1765
关键字：Bootstrap, Fixed effects, Panel data, Strict exogeneity, Wald test
发表时间：2016-08-16
摘要：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