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Statistics seminar "Testing for time-invariant unobserved heterogeneity in generalized linear panel data models"

Seminario di Statistica

31/01/2013 dalle 15:00 alle 18:00

Dove Dipartimento di Scienze Statistiche - aula III

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Francesco Bartolucci - Università di Perugia 
Federico Belotti e Franco Peracchi – Università di Roma "Tor Vergata"

Recent literature on nonlinear panel data has emphasized the importance of
accounting for time-varying unobserved heterogeneity, which may stem either from
time-varying unit-specific omitted variables or macro-level shocks that affect
each individual unit differently. In this paper, we propose a Hausman-like
procedure to test the null hypothesis of time-invariant individual effects. The
test can be used when the dependent variable is discrete and is based on a
comparison between standard and pairwise conditional likelihood estimators. It
requires no assumptions on the distribution on the time-varying individual
effects, in particular it does not require them to be independent of the
covariates in the model. We investigate the finite sample properties of the test
by a simulation study. The results of this study show good size and power
properties of the proposed test, especially with ordinal outcomes. A health
economics example based on a sample from the Health and Retirement Study is used
to illustrate the test.