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Finite sample performance of specification tests for correlated random effects quantile panel regressions

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  • Samiul Haque
  • Michael S. Delgado

Abstract

We investigate the finite sample performance of the Abrevaya and Dahl (2008) test for coefficient heterogeneity for a correlated random effects ‘mean’ (CREM) panel quantile regression estimator. We assess size and power of the test over a range of sample sizes and panel dimensions. The test is undersized for small-to-moderate sample sizes and displays low power even with a high degree of heteroscedasticity. Size and power improve substantially in larger samples. Our results provide insight for applied researchers.

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  • Samiul Haque & Michael S. Delgado, 2017. "Finite sample performance of specification tests for correlated random effects quantile panel regressions," Applied Economics Letters, Taylor & Francis Journals, vol. 24(8), pages 515-519, May.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:8:p:515-519
    DOI: 10.1080/13504851.2016.1208344
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    Cited by:

    1. Samiul Haque, 2022. "US federal farm payments and farm size: Quantile estimation on panel data," Journal of Agricultural Economics, Wiley Blackwell, vol. 73(1), pages 139-154, February.

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