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;...

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Main Authors:	Castagnetti, Carolina, Rossi, Eduardo, Trapani, Lorenzo
Format:	Article
Language:	English
Published:	Elsevier 2015
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

id	nottingham-49231
recordtype	eprints
spelling	nottingham-492312018-01-24T22:16:30Z http://eprints.nottingham.ac.uk/49231/ Testing for no factor structures: on the use of Hausman-type statistics Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo 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; see also Song, 2013). We show that tests based on either estimators cannot be employed directly, and either need further assumptions than those required for the simple purpose of estimation, or bias corrections, or cannot be used altogether. Elsevier 2015-05 Article PeerReviewed application/pdf en http://eprints.nottingham.ac.uk/49231/1/castagnetti_rossi_trapani_2015_EL.pdf Castagnetti, Carolina and Rossi, Eduardo and Trapani, Lorenzo (2015) Testing for no factor structures: on the use of Hausman-type statistics. Economics Letters, 130 . pp. 66-68. ISSN 0165-1765 http://www.sciencedirect.com/science/article/pii/S0165176515000907 doi:10.1016/j.econlet.2015.02.030 doi:10.1016/j.econlet.2015.02.030
repository_type	Digital Repository
institution_category	Local University
institution	University of Nottingham Malaysia Campus
building	Nottingham Research Data Repository
collection	Online Access
language	English
description	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; see also Song, 2013). We show that tests based on either estimators cannot be employed directly, and either need further assumptions than those required for the simple purpose of estimation, or bias corrections, or cannot be used altogether.
format	Article
author	Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo
spellingShingle	Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo Testing for no factor structures: on the use of Hausman-type statistics
author_facet	Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo
author_sort	Castagnetti, Carolina
title	Testing for no factor structures: on the use of Hausman-type statistics
title_short	Testing for no factor structures: on the use of Hausman-type statistics
title_full	Testing for no factor structures: on the use of Hausman-type statistics
title_fullStr	Testing for no factor structures: on the use of Hausman-type statistics
title_full_unstemmed	Testing for no factor structures: on the use of Hausman-type statistics
title_sort	testing for no factor structures: on the use of hausman-type statistics
publisher	Elsevier
publishDate	2015
url	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
first_indexed	2018-09-06T14:05:12Z
last_indexed	2018-09-06T14:05:12Z
_version_	1610867238777126912

Testing for no factor structures: on the use of Hausman-type statistics

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