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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| Format: | Article |
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Elsevier
2015
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| Online Access: | https://eprints.nottingham.ac.uk/49231/ |
| _version_ | 1848797951274516480 |
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| author | Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo |
| author_facet | Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo |
| author_sort | Castagnetti, Carolina |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T20:12:02Z |
| format | Article |
| id | nottingham-49231 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T20:12:02Z |
| publishDate | 2015 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-492312020-05-04T20:08:48Z https://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 Castagnetti, Carolina, 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 Large panels; Testing for factor structure; Hausman-type test http://www.sciencedirect.com/science/article/pii/S0165176515000907 doi:10.1016/j.econlet.2015.02.030 doi:10.1016/j.econlet.2015.02.030 |
| spellingShingle | Large panels; Testing for factor structure; Hausman-type test Castagnetti, Carolina Rossi, Eduardo Trapani, Lorenzo Testing for no factor structures: on the use of Hausman-type statistics |
| title | 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_short | 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 |
| topic | Large panels; Testing for factor structure; Hausman-type test |
| url | https://eprints.nottingham.ac.uk/49231/ https://eprints.nottingham.ac.uk/49231/ https://eprints.nottingham.ac.uk/49231/ |