Testing for no factor structures: on the use of average-type and Hausman-type statistics
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- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015.
"Inference on factor structures in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2012. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 002, University of Pavia, Department of Economics and Management.
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- Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015.
"Inference on factor structures in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2012. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 002, University of Pavia, Department of Economics and Management.
- Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "Inference on Factor Structures in Heterogeneous Panels," DEM Working Papers Series 088, University of Pavia, Department of Economics and Management.
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More about this item
Keywords
Large Panels; Testing for Factor Structure; Hausman-type test.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-11-01 (Econometrics)
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