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On the local power of some tests of strict exogeneity in linear fixed effects models
Econometrics and Statistics Pub Date : 2021-05-10 , DOI: 10.1016/j.ecosta.2021.05.001
Alexander Mayer

The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model is derived under near-epoch dependence and a maintained assumption of contemporaneously exogenous regressors. Local power is found to depend nontrivially on the relative panel size, on the width of the local neighborhood, and on the maintained notion of exogeneity under the alternative. Some (dis)similarities between this test and already existing test principles are explored.



中文翻译:

关于线性固定效应模型中一些严格外生性检验的局部功效

线性面板模型中严格外生性的变量加法检验的局部渐近幂是在近时代相关性和同时外生回归变量的维持假设下推导出的。发现局部功率在很大程度上取决于相对面板大小、局部邻域的宽度以及替代方案下保持的外生性概念。探索了该测试与现有测试原则之间的一些(不)相似之处。

更新日期:2021-05-10
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