Tests for p-regression Coefficients in Linear Panel Model When p is Divergent

This paper evaluates the performance of the F W -test for testing part of p -regression coefficients in linear panel data model when p is divergent. The asymptotic power of the F W -statistic is obtained under some regular conditions. The theoretical development are challenging since the number of c...

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Bibliographic Details
Published in:Acta Mathematicae Applicatae Sinica 2020-07, Vol.36 (3), p.566-580
Main Authors: Zhao, Jing, Wu, Mi-xia, Cheng, Wei-hu, Rong, Yao-hua, Hu, Yu-ping
Format: Article
Language:English
Subjects:
Applications of Mathematics
Computer simulation
Longitudinal studies
Math Applications in Computer Science
Mathematical and Computational Physics
Mathematical models
Mathematics
Mathematics and Statistics
Regression coefficients
Statistical analysis
Theoretical
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Summary:This paper evaluates the performance of the F W -test for testing part of p -regression coefficients in linear panel data model when p is divergent. The asymptotic power of the F W -statistic is obtained under some regular conditions. The theoretical development are challenging since the number of covariates increases as the sample size increases. It is worth noting that the inference approach does not require any specification of the error distribution. Some simulation comparisons are conducted and show that the simulated power coincide with theoretical power well. The method is also illustrated using a renal cancer data example.
ISSN:0168-9673
1618-3932
DOI:10.1007/s10255-020-0947-y