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

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

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

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

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