Testing for no factor structures: on the use of Hausman-type statistics
Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai (2009;...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2015
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| Online Access: | http://eprints.nottingham.ac.uk/49231/ http://eprints.nottingham.ac.uk/49231/ http://eprints.nottingham.ac.uk/49231/ http://eprints.nottingham.ac.uk/49231/1/castagnetti_rossi_trapani_2015_EL.pdf |