Open AccessThe asymptotic distribution of the F‐test statistic for individual effects
Author(s) -
Orme Chris D.,
Yamagata Takashi
Publication year - 2006
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/j.1368-423x.2006.00191.x
Subject(s) - asymptotic distribution , mathematics , test statistic , asymptotic analysis , statistic , statistics , distribution (mathematics) , normality test , test (biology) , random effects model , statistical hypothesis testing , mathematical analysis , estimator , medicine , paleontology , biology , meta analysis
Summary This paper employs first‐order asymptotic theory in order to establish the asymptotic distribution of the F‐test statistic for fixed effects, under non‐normality of the errors, when N →∞ (the number of cross‐sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F‐test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F‐test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F‐test will have higher asymptotic power than the random effects test.