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TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST

Year 2017, Issue: 26, 53 - 59, 07.09.2017

Halil İbrahim Gündüz

Abstract

Bu çalışmada heteroskedastik
hatalara sahip dinamik panel very modellerinde eğim homojenliğinin sınanması
ele alınmaktadır. Wild bootstrap yaklaşımının kullanımı ile Pesaran ve Yamagata
(2008) tarafından geliştirilen



















 test istatistiğinin asimptotik dağılımına
yakınsamasının gerçekleşmesi incelenecektir. Simülasyon deneyleri wild
bootstrap

 testinin bu kapsamda performansının iyi
olduğunu göstermektedir.

Keywords

Eğim homojenliğinin sınanması ∆ ̃_adj testi dinamik paneller wild bootstrap

References

  • Beran, R., 1986. Discussion of “Jackknife bootstrap and other resampling methods in regression analysis” by C.F.J. Wu. Ann. Statist. 14, 1295–1298.
  • Giacomini R, Politis DN, White H. A Warp-Speed method for conducting Monte Carlo experiments involving bootstrap estimators. Econ Theory. 2013; 29:567–589.
  • Liu, R.Y., 1988. Bootstrap procedure under some non-i.i.d. models. Ann. Statist. 16, 1696–1708.
  • Mammen, E., 1993. Bootstrap and wild bootstrap for high dimensional linear models. Ann. Statist. 21, 255–285.
  • Pesaran, MH., Yamagata, T. Testing slope homogeneity in large panels. J. Econometrics. 2008; 142, 50–93.
  • Pesaran, MH., & Smith, R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of econometrics. 1995; 68(1), 79-113.
  • Pesaran, MH, Smith R, Im KS. Dynamic linear models for heterogeneous panels. In L. Matyas and P. Sevestre (eds.), The Econometrics of Panel Data: A Handbook of the Theory with Applications, 2nd rev. 1996; 145–195. Kluwer Academic Publishers.
  • Phillips PCB, Sul D. Dynamic panel estimation and homogeneity testing under cross section dependence. Econom. J. 2003; 6, 217–259.
  • Robertson, D., & Symons, J. Some strange properties of panel data estimators. Journal of Applied econometrics. 1992; 7(2), 175-189.
  • Wu, C.F.J., 1986. Jackknife bootstrap and other resampling methods in regression analysis. Ann. Statist. 14, 1261–1295.

TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST

Year 2017, Issue: 26, 53 - 59, 07.09.2017

Halil İbrahim Gündüz

Abstract

This paper considers testing for
slope homogeneity in dynamic panel data models with heteroskedastic
disturbances. We investigate the use of a wild bootstrap framework is suggested
to approximate the distribution of the



















 statistic, proposed by Pesaran and Yamagata (Pesaran, M.H., Yamagata,
T., Testing slope homogeneity in large panels, Journal of Econometrics 142,
50–93, 2008). Simulation experiments show that the wild bootstrap

 test performs well in
this context.

Keywords

Testing slope homogeneity dynamic panels wild bootstrap ∆ ̃_adj test

References

  • Beran, R., 1986. Discussion of “Jackknife bootstrap and other resampling methods in regression analysis” by C.F.J. Wu. Ann. Statist. 14, 1295–1298.
  • Giacomini R, Politis DN, White H. A Warp-Speed method for conducting Monte Carlo experiments involving bootstrap estimators. Econ Theory. 2013; 29:567–589.
  • Liu, R.Y., 1988. Bootstrap procedure under some non-i.i.d. models. Ann. Statist. 16, 1696–1708.
  • Mammen, E., 1993. Bootstrap and wild bootstrap for high dimensional linear models. Ann. Statist. 21, 255–285.
  • Pesaran, MH., Yamagata, T. Testing slope homogeneity in large panels. J. Econometrics. 2008; 142, 50–93.
  • Pesaran, MH., & Smith, R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of econometrics. 1995; 68(1), 79-113.
  • Pesaran, MH, Smith R, Im KS. Dynamic linear models for heterogeneous panels. In L. Matyas and P. Sevestre (eds.), The Econometrics of Panel Data: A Handbook of the Theory with Applications, 2nd rev. 1996; 145–195. Kluwer Academic Publishers.
  • Phillips PCB, Sul D. Dynamic panel estimation and homogeneity testing under cross section dependence. Econom. J. 2003; 6, 217–259.
  • Robertson, D., & Symons, J. Some strange properties of panel data estimators. Journal of Applied econometrics. 1992; 7(2), 175-189.
  • Wu, C.F.J., 1986. Jackknife bootstrap and other resampling methods in regression analysis. Ann. Statist. 14, 1261–1295.
There are 10 citations in total.

Details

Journal Section Makaleler
Authors

Halil İbrahim Gündüz

Publication Date September 7, 2017
Published in Issue Year 2017 Issue: 26

Cite

APA Gündüz, H. İ. (2017). TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST. Istanbul University Econometrics and Statistics E-Journal(26), 53-59.
AMA Gündüz Hİ. TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST. Istanbul University Econometrics and Statistics e-Journal. August 2017;(26):53-59.
Chicago Gündüz, Halil İbrahim. “TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST”. Istanbul University Econometrics and Statistics E-Journal, no. 26 (August 2017): 53-59.
EndNote Gündüz Hİ (August 1, 2017) TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST. Istanbul University Econometrics and Statistics e-Journal 26 53–59.
IEEE H. İ. Gündüz, “TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST”, Istanbul University Econometrics and Statistics e-Journal, no. 26, pp. 53–59, August 2017.
ISNAD Gündüz, Halil İbrahim. “TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST”. Istanbul University Econometrics and Statistics e-Journal 26 (August 2017), 53-59.
JAMA Gündüz Hİ. TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST. Istanbul University Econometrics and Statistics e-Journal. 2017;:53–59.
MLA Gündüz, Halil İbrahim. “TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST”. Istanbul University Econometrics and Statistics E-Journal, no. 26, 2017, pp. 53-59.
Vancouver Gündüz Hİ. TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST. Istanbul University Econometrics and Statistics e-Journal. 2017(26):53-9.