{"title":"New Approaches for Testing Slope Homogeneity in Large Panel Data Models","authors":"Guanghui Wang, Long Feng, Ping Zhao","doi":"10.1007/s40304-023-00371-5","DOIUrl":null,"url":null,"abstract":"<p>Testing slope homogeneity is important in panel data modeling. Existing approaches typically take the summation over a sequence of test statistics that measure the heterogeneity of individual panels; they are referred to as Sum tests. We propose two procedures for slope homogeneity testing in large panel data models. One is called a Max test that takes the maximum over these individual test statistics. The other is referred to as a Combo test, which combines a certain Sum test (i.e., that of Pesaran and Yamagata in J Econom 142:50-93, 2008) and the proposed Max test together. We derive the limiting null distributions of the two test statistics, respectively, when both the number of individuals and temporal observations jointly diverge to infinity, and demonstrate that the Max test is asymptotically independent of the Sum test. Numerical results show that the proposed approaches perform satisfactorily.</p>","PeriodicalId":10575,"journal":{"name":"Communications in Mathematics and Statistics","volume":"16 1","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Mathematics and Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s40304-023-00371-5","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
Abstract
Testing slope homogeneity is important in panel data modeling. Existing approaches typically take the summation over a sequence of test statistics that measure the heterogeneity of individual panels; they are referred to as Sum tests. We propose two procedures for slope homogeneity testing in large panel data models. One is called a Max test that takes the maximum over these individual test statistics. The other is referred to as a Combo test, which combines a certain Sum test (i.e., that of Pesaran and Yamagata in J Econom 142:50-93, 2008) and the proposed Max test together. We derive the limiting null distributions of the two test statistics, respectively, when both the number of individuals and temporal observations jointly diverge to infinity, and demonstrate that the Max test is asymptotically independent of the Sum test. Numerical results show that the proposed approaches perform satisfactorily.
斜率同质性测试在面板数据建模中非常重要。现有的方法通常是对测量单个面板异质性的一系列检验统计量求和,这些统计量被称为和检验。我们提出了两种在大型面板数据模型中进行斜率同质性检验的程序。一种称为 Max 检验,它是对这些单个检验统计量取最大值。另一种称为 Combo 检验,它将某种 Sum 检验(即 Pesaran 和 Yamagata 在 J Econom 142:50-93, 2008 中提出的 Sum 检验)和所提出的 Max 检验结合在一起。我们分别推导了当个体数和时间观测值共同发散到无穷大时两种检验统计量的极限零分布,并证明了 Max 检验在渐近上独立于 Sum 检验。数值结果表明,所提出的方法性能令人满意。
期刊介绍:
Communications in Mathematics and Statistics is an international journal published by Springer-Verlag in collaboration with the School of Mathematical Sciences, University of Science and Technology of China (USTC). The journal will be committed to publish high level original peer reviewed research papers in various areas of mathematical sciences, including pure mathematics, applied mathematics, computational mathematics, and probability and statistics. Typically one volume is published each year, and each volume consists of four issues.