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

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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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Bibliographic Details
Main Authors:	Castagnetti, Carolina, Rossi, Eduardo, Trapani, Lorenzo
Format:	Article
Published:	Elsevier 2015
Subjects:	Large panels; Testing for factor structure; Hausman-type test
Online Access:	https://eprints.nottingham.ac.uk/49231/

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