Beste Hamiye Beyaztas, Soutir Bandyopadhyay, Abhijit Mandal
arXiv 15 Apr 2021 · Statistics — Methodology
arXiv:2104.07723 · PDF · DOI · OpenAlex · Extracted main text
The presence of outlying observations may adversely affect statistical testing procedures that result in unstable test statistics and unreliable inferences depending on the distortion in parameter estimates. In spite of the fact that the adverse effects of outliers in panel data models, there are only a few robust testing procedures available for model specification. In this paper, a new weighted likelihood based robust specification test is proposed to determine the appropriate approach in panel data including individual-specific components. The proposed test has been shown to have the same asymptotic distribution as that of most commonly used Hausman's specification test under null hypothesis of random effects specification. The finite sample properties of the robust testing procedure are illustrated by means of Monte Carlo simulations and an economic-growth data from the member countries of the Organisation for Economic Co-operation and Development. Our records reveal that the robust specification test exhibit improved performance in terms of size and power of the test in the presence of contamination.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Beyaztas \ Bandyopadhyay (2020) `Robust estimation for linear panel data models', Statistics in Medicine 39(29), 4421–4438 | 1.000 | 21 | 6 | 100% |
| 2 | Baltagi (2005) Econometric Analysis of Panel Data, John Wiley and Sons, Chichester | 1.000 | 8 | 4 | 100% |
| 3 | Hausman (1978) `Specification tests in econometrics', Econometrica 46(6), 1251–1271 | 1.000 | 7 | 3 | 100% |
| 4 | Agostinelli \ Markatou (2001) `Test of hypotheses based on the weighted likelihood methodology', Statistica Sinica 11(2), 499–514 | 0.928 | 4 | 3 | 100% |
| 5 | Wooldridge (2002) Econometric Analysis of Cross Section and Panel Data, The MIT Press, Cambridge | 0.928 | 4 | 3 | 100% |
| 6 | Holly (1982) `A remark on hausman's specification test', Econometrica 50(3), 749–759 | 0.874 | 10 | 2 | 100% |
| 7 | Hausman \ Taylor (1981) `Panel data and unobservable individual effects', Econometrica 49(6), 1377–1398 | 0.874 | 8 | 2 | 100% |
| 8 | Arellano (1993) `On the testing of correlated effects with panel data', Journal of Econometrics 59(1-2), 87–97 | 0.874 | 5 | 2 | 100% |
| 9 | Spencer \ Berk (1981) `A limited information specification test', Econometrica 49(4), 1079–1085 | 0.811 | 4 | 2 | 100% |
| 10 | Cameron \ Trivedi (2009) Microeconometrics Using Stata, Stata Press, Texas | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 38 scored citations.