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Panel bootstrap tests of slope homogeneity

Author

Listed:
  • Johan Blomquist

    (Swedish University of Agricultural Sciences)

  • Joakim Westerlund

    (Lund University
    Deakin University)

Abstract

This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.

Suggested Citation

  • Johan Blomquist & Joakim Westerlund, 2016. "Panel bootstrap tests of slope homogeneity," Empirical Economics, Springer, vol. 50(4), pages 1359-1381, June.
    • Handle: RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0978-z
    DOI: 10.1007/s00181-015-0978-z
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    References listed on IDEAS

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    More about this item

    Keywords

    Panel data; Slope homogeneity test; Block bootstrap;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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