Abstract
This paper evaluates the performance of the FW-test for testing part of p-regression coefficients in linear panel data model when p is divergent. The asymptotic power of the FW-statistic is obtained under some regular conditions. The theoretical development are challenging since the number of covariates increases as the sample size increases. It is worth noting that the inference approach does not require any specification of the error distribution. Some simulation comparisons are conducted and show that the simulated power coincide with theoretical power well. The method is also illustrated using a renal cancer data example.
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This paper is supported by the National Key R&D Program of China (2016YFF0204205, 2017YFF0206503), the National Natural Science Foundation (Nos.11701021) and by the National Social Science Foundation of China (18BTJ021).
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Zhao, J., Wu, Mx., Cheng, Wh. et al. Tests for p-regression Coefficients in Linear Panel Model When p is Divergent. Acta Math. Appl. Sin. Engl. Ser. 36, 566–580 (2020). https://doi.org/10.1007/s10255-020-0947-y
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DOI: https://doi.org/10.1007/s10255-020-0947-y