关键词: 个体效应, 面板数据, 基于残差的检验, 时间效应

Abstract: Due to the excellent properties of showing heteroscedasticity, Panel Data models have been greatly used in economics. However, there are many subjectivity and randomness on the specification of individual and time effects, which easily leads to misspecification and wrong conclusions. This paper proposes a robust method to respectively test for the existence of individual effects and time effects in panel data models. Specifically, in testing for individual effects, we can eliminate the potential time effects by an orthogonal transformation of residuals and consider an artificial autoregressive model of the transformated residuals, and then construct the test statistics based on the OLS parameter estimates of the artificial autoregressive model. Similarly, the tests can be constructed for the existence of time effects. The resultant tests are one-sided, and are asymptotically normally distributed under the null. Power study shows that our tests can detect local alternatives distinct at the parametric rate from the null. The small sample properties of the tests are investigated by Monte Carlo simulation experiments and real data is analyzed for illustration.

Key words: Individual Effect, Panel Data, Residual-based Test, Time Effect