A0300
Title: Optimal tests for the absence of random individual effects in large n and small T dynamic panels
Authors: Yuichi Goto - Kyushu University (Japan) [presenting]
Nezar Bennala - Universite libre de Bruxelles (Belgium)
Marc Hallin - Universite Libre de Bruxelles (Belgium)
Abstract: The problem of testing the absence of individual effects is considered in dynamic panels with AR(p) disturbances. A local asymptotic normality property is established for the number of individuals tending to infinity and the time series length fixed. Then, locally asymptotically optimal parametric and pseudo-Gaussian tests are constructed.
