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Specification test for fixed effects in binary panel data model: a simulation study. (English) Zbl 1332.62071

Summary: We examine the specification tests which have been proposed for fixed effects in binary panel data model, using several different data generating processes to evaluate the performance of the specification test in different situations. By simulations, we find the specification test based on moment conditions is able to outperform the Lagrange multiplier test proposed by S. Gurmu [Testing for fixed effects in logit and probit models using an artificial regression. Econometric Theory 12, 872–874 (1996)].

MSC:

62F03 Parametric hypothesis testing
62F05 Asymptotic properties of parametric tests
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