Universität zu Köln

Mayer, Alexander ORCID: 0000-0001-5938-8394 (2022). On the local power of some tests of strict exogeneity in linear fixed effects models. Econom. Stat., 24. S. 49 - 75. AMSTERDAM: ELSEVIER. ISSN 2452-3062

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Abstract

The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model is derived under near-epoch dependence and a maintained assumption of contem-poraneously exogenous regressors. Local power is found to depend nontrivially on the rel-ative panel size, on the width of the local neighborhood, and on the maintained notion of exogeneity under the alternative. Some (dis)similarities between this test and already existing test principles are explored.(c) 2021 The Author(s). Published by Elsevier B.V. on behalf of EcoSta Econometrics and Statistics. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Mayer, Alexander UNSPECIFIED orcid.org/0000-0001-5938-8394 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-664211
DOI:	10.1016/j.ecosta.2021.05.001
Journal or Publication Title:	Econom. Stat.
Volume:	24
Page Range:	S. 49 - 75
Date:	2022
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	2452-3062
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language ROBUST STANDARD ERRORS; PANEL-DATA; REGRESSION-MODELS; SPECIFICATION TESTS; MATRIX ESTIMATOR; DYNAMIC-MODELS; INFERENCE; PARAMETER Multiple languages Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/66421