TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST
Bu çalışmada heteroskedastik
hatalara sahip dinamik panel very modellerinde eğim homojenliğinin sınanması
ele alınmaktadır. Wild bootstrap yaklaşımının kullanımı ile Pesaran ve Yamagata
(2008) tarafından geliştirilen
test istatistiğinin asimptotik dağılımına
yakınsamasının gerçekleşmesi incelenecektir. Simülasyon deneyleri wild
bootstrap
testinin bu kapsamda performansının iyi
olduğunu göstermektedir.
TESTING FOR SLOPE HOMOGENEITY IN DYNAMIC PANELS USING THE WILD BOOTSTRAP ∆ ̃_adj TEST
This paper considers testing for
slope homogeneity in dynamic panel data models with heteroskedastic
disturbances. We investigate the use of a wild bootstrap framework is suggested
to approximate the distribution of the
statistic, proposed by Pesaran and Yamagata (Pesaran, M.H., Yamagata,
T., Testing slope homogeneity in large panels, Journal of Econometrics 142,
50–93, 2008). Simulation experiments show that the wild bootstrap
test performs well in
this context.
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