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Query: faculty: "FEB" and publication year: "2004"

AuthorM.J.G. Bun
TitleTesting poolability in a system of dynamic regressions with nonspherical disturbances
JournalEmpirical Economics
Volume29
Year2004
Issue1
Pages89-106
ISSN03777332
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThis study analyzes the testing of cross-equation restrictions within a set of regression equations. Through Monte Carlo experiments we examine the actual size of various asymptotic procedures for testing the poolability hypothesis, i.e., equal slope vectors across individual equations. Regression models with both lagged dependent variable regressors and nonspherical disturbances are considered. In these models we find that the performance in finite samples of classical asymptotic test procedures using critical values from either F or X 2 approximations is often rather poor. However, employing the original test statistics with bootstrapped critical values leads to much more accurate inference in finite samples. In an empirical analysis of panel data on GDP growth and unemployment rates in OECD countries it is shown that classical asymptotic tests and bootstrap procedures may lead to conflicting test outcomes.
Document typeArticle
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