Robust tests for time-invariant individual heterogeneity versus dynamic state dependence

Autores
Zincenko, Federico; Sosa Escudero, Walter; Montes Rojas, Gabriel Victorio
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Zincenko, Federico. University of Pittsburgh; Estados Unidos
Fil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Dynamic Panel
Local Misspecification
Random Effects
Testing
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/50585
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/50585
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Robust tests for time-invariant individual heterogeneity versus dynamic state dependenceZincenko, FedericoSosa Escudero, WalterMontes Rojas, Gabriel VictorioDynamic PanelLocal MisspecificationRandom EffectsTestinghttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5We 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.Fil: Zincenko, Federico. University of Pittsburgh; Estados UnidosFil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaSpringer2014-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/50585Zincenko, Federico; Sosa Escudero, Walter; Montes Rojas, Gabriel Victorio; Robust tests for time-invariant individual heterogeneity versus dynamic state dependence; Springer; Empirical Economics; 47; 4; 12-2014; 1365-13870377-73321435-8921CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-013-0788-0info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs00181-013-0788-0info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:47:58Zoai:ri.conicet.gov.ar:11336/50585instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:47:59.112CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
title Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
spellingShingle Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
Zincenko, Federico
Dynamic Panel
Local Misspecification
Random Effects
Testing
title_short Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
title_full Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
title_fullStr Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
title_full_unstemmed Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
title_sort Robust tests for time-invariant individual heterogeneity versus dynamic state dependence
dc.creator.none.fl_str_mv Zincenko, Federico
Sosa Escudero, Walter
Montes Rojas, Gabriel Victorio
author Zincenko, Federico
author_facet Zincenko, Federico
Sosa Escudero, Walter
Montes Rojas, Gabriel Victorio
author_role author
author2 Sosa Escudero, Walter
Montes Rojas, Gabriel Victorio
author2_role author
author
dc.subject.none.fl_str_mv Dynamic Panel
Local Misspecification
Random Effects
Testing
topic Dynamic Panel
Local Misspecification
Random Effects
Testing
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv 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.
Fil: Zincenko, Federico. University of Pittsburgh; Estados Unidos
Fil: Sosa Escudero, Walter. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Montes Rojas, Gabriel Victorio. City University of London; Reino Unido. Universidad de San Andrés; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-12
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/50585
Zincenko, Federico; Sosa Escudero, Walter; Montes Rojas, Gabriel Victorio; Robust tests for time-invariant individual heterogeneity versus dynamic state dependence; Springer; Empirical Economics; 47; 4; 12-2014; 1365-1387
0377-7332
1435-8921
CONICET Digital
CONICET
url http://hdl.handle.net/11336/50585
identifier_str_mv Zincenko, Federico; Sosa Escudero, Walter; Montes Rojas, Gabriel Victorio; Robust tests for time-invariant individual heterogeneity versus dynamic state dependence; Springer; Empirical Economics; 47; 4; 12-2014; 1365-1387
0377-7332
1435-8921
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-013-0788-0
info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs00181-013-0788-0
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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