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

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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

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Official URL: http://www.sciencedirect.com/science/article/pii/S0165176515000907

Abstract

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.

Item Type:	Article
RIS ID:	https://nottingham-repository.worktribe.com/output/983731
Keywords:	Large panels; Testing for factor structure; Hausman-type test
Schools/Departments:	University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number:	https://doi.org/10.1016/j.econlet.2015.02.030
Depositing User:	Eprints, Support
Date Deposited:	22 Jan 2018 09:59
Last Modified:	04 May 2020 20:08
URI:	https://eprints.nottingham.ac.uk/id/eprint/49231

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