Recently, I received a query from Rolf Lyneborg Lund who asked for references to material on specification testing in the context of panel data models. After I responded to Rolf. it occurred to me that these references might also be of interest to others.
Going beyond the standard Hausman test for random versus fixed effects, here are some general references that may be helpful:
- Baltagi, B. H., 1998. Panel data methods. In A. Ullah and D. E. A. Giles (eds.), Handbook of Applied Economic Statistics, Marcel Dekker, New York.
- Baltagi, B. H., 1999. Specification tests in panel data models using artificial regressions. Annales d'Économie et des Statistiques, 55-56, 277-298.
- Lee, Y-J., 2005. Specification testing for functional forms in dynamic panel data models.
- Metcalf, G. E., 1996. Specification testing in panel data with instrumental variables. Journal of Econometrics, 71, 291-307.
- Park, H. M., 2011. Practical guides to panel data modeling: A step by step analysis using stata. Public Management and Policy Analysis Program, Graduate School of International Relations, International University of Japan.
In addition, there's quite an extensive literature on testing for unit roots and cointegration in panel data models. I won't attempt to summarize this literature here, but a useful, recent, summary is provided by:
- Chen, M-Y., 2013. Panel unit root and cointegration tests. Mimeo., Department of Finance, National Chung Hsing University.
© 2013, David E. Giles