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- Title
The asymptotic distribution of the F-test statistic for individual effects.
- Authors
Orme, Chris D.; Yamagata, Takashi
- Abstract
This paper employs first-order asymptotic theory in order to establish the asymptotic distribution of the F-test statistic for fixed effects, under non-normality of the errors, when (the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test.
- Subjects
REGRESSION analysis; PROBABILITY theory; STANDARD deviations; ERRORS; STATISTICS; ECONOMICS
- Publication
Econometrics Journal, 2006, Vol 9, Issue 3, p404
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2006.00191.x