HOMTEST: HOMTEST

In PDMIF: Fits Heterogeneous Panel Data Models

HOMTEST

Description

This function tests homogeneity of the regression coefficients in heterogeneous panel data models with interactive effects.

Usage

HOMTEST(X, Y, Nfactors, Maxit = 100, tol = 0.001)

Arguments

X	The (NT) times p design matrix, without an intercept where N=number of individuals, T=length of time series, p=number of explanatory variables.
Y	The T times N panel of response where N=number of individuals, T=length of time series.
Nfactors	A pre-specified number of common factors.
Maxit	A maximum number of iterations in optimization. Default is 100.
tol	Tolerance level of convergence. Default is 0.001.

Value

A list with the following components:

• Coefficients: The estimated heterogeneous coefficients.

• Factors: The estimated common factors across groups.

• Loadings: The estimated factor loadings for the common factors.

• pvalue: The p-value of the homogeneity test.

References

Ando, T. and Bai, J. (2015) A simple new test for slope homogeneity in panel data models with interactive effects. Economics Letters, 136, 112-117.

Examples

fit <- HOMTEST(data1X,data1Y,2,20,0.5)

PDMIF documentation built on March 18, 2022, 7:15 p.m.