Using the Monte Carlo setup for the two-way error component model described in Baltagi (1981), (a) Compare

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Using the Monte Carlo setup for the two-way error component model described in Baltagi (1981),

(a) Compare the performance of the Chow $F$-test and the Roy-Zellner test for various values of the variance components.

(b) Compare the performance of the BP, KW, SLM, LR, GHM, and F-test statistics as done in Baltagi, Chang and $\mathrm{Li}$ (1992).

(c) Perform Hausman's specification test and discuss its size for the various experiments conducted.

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Related Book For answer-question

Econometric Analysis Of Panel Data

ISBN: 9783030539528

6th Edition

Authors: Badi H Baltagi

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Question Posted: Mar 02, 2024 11:00 PM

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Using the Monte Carlo setup for the two-way error component model described in Baltagi (1981), (a) Compare

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Econometric Analysis Of Panel Data

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