PDMIF (version 0.1.0)

HOMTEST: HOMTEST

Description

This function tests homogeneity of the regression coefficients in heterogeneous panel data models with interactive effects.

Usage

HOMTEST(X, Y, Nfactors, Maxit = 100, tol = 0.001)

Arguments

X

The (NT) times p design matrix, without an intercept where N=number of individuals, T=length of time series, p=number of explanatory variables.

Y

The T times N panel of response where N=number of individuals, T=length of time series.

Nfactors

A pre-specified number of common factors.

Maxit

A maximum number of iterations in optimization. Default is 100.

tol

Tolerance level of convergence. Default is 0.001.

Value

A list with the following components:

• Coefficients: The estimated heterogeneous coefficients.

• Factors: The estimated common factors across groups.

• Loadings: The estimated factor loadings for the common factors.

• pvalue: The p-value of the homogeneity test.

References

Ando, T. and Bai, J. (2015) A simple new test for slope homogeneity in panel data models with interactive effects. Economics Letters, 136, 112-117.

Examples

# NOT RUN {
fit <- HOMTEST(data1X,data1Y,2,20,0.5)
# }