Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

doi:10.1080/07474938.2017.1307580

CORC > 上海财经大学 > 上海财经大学

	Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
	Baltagi, Badi H.1,2,3; Kao, Chihwa 4; Wang, Fa 5
刊名	ECONOMETRIC REVIEWS
	2017
卷号	36 期号:6-9 页码:853-882
关键词	Asymptotic power high dimensional inference John test panel data sphericity strong factor weak factor
ISSN号	0747-4938
DOI	10.1080/07474938.2017.1307580
英文摘要	This paper studies the asymptotic power for the sphericity test in a fixed effect panel data model proposed by Baltagi et al.(2011), (J(BFK)). This is done under the alternative hypotheses of weak and strong factors. By weak factors, we mean that the Euclidean norm of the vector of the factor loadings is O(1). By strong factors, we mean that the Euclidean norm of the vector of factor loadings is O(root n), where n is the number of individuals in the panel. To derive the limiting distribution of J(BFK) under the alternative, we first derive the limiting distribution of its raw data counterpart. Our results show that, when the factor is strong, the test statistic diverges in probability to infinity as fast as O-p(nT). However, when the factor is weak, its limiting distribution is a rightward mean shift of the limit distribution under the null. Second, we derive the asymptotic behavior of the difference between J(BFK) and its raw data counterpart. Our results show that when the factor is strong, this difference is as large as O-p(n). In contrast, when the factor is weak, this difference converges in probability to a constant. Taken together, these results imply that when the factor is strong, J(BFK) is consistent, but when the factor is weak, J(BFK) is inconsistent even though its asymptotic power is nontrivial.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000406534900016
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1089]
专题	上海财经大学
通讯作者	Baltagi, Badi H.
作者单位	1.Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA; 2.Syracuse Univ, Ctr Policy Res, 426 Eggers Hall, Syracuse, NY 13244 USA; 3.Univ Leicester, Dept Econ, Leicester, Leics, England; 4.Univ Connecticut, Dept Econ, Storrs, CT USA; 5.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Baltagi, Badi H.,Kao, Chihwa,Wang, Fa. Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model[J]. ECONOMETRIC REVIEWS,2017,36(6-9):853-882.
APA	Baltagi, Badi H.,Kao, Chihwa,&Wang, Fa.(2017).Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model.ECONOMETRIC REVIEWS,36(6-9),853-882.
MLA	Baltagi, Badi H.,et al."Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model".ECONOMETRIC REVIEWS 36.6-9(2017):853-882.