| HOMTEST {PDMIF} | R Documentation |
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)