Diagnostics for Group Effects in Regression Analysis

Brent R. Moulton

159 citations0/0 files storedJournal of Business and Economic Statistics

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Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Advanced Statistical Methods and Models

Abstract

The diagnostic tools examined in this article are applicable to regressions estimated with panel data or cross-sectional data drawn from a population with grouped structure. The diagnostic tools considered include (a) tests for the existence of group effects under both fixed and random effects models, (b) checks for outlying groups, and (c) specification tests for comparing the fixed and random effects models. A group-specific counterpart to the studentized residual is introduced. The methods are illustrated using a hedonic housing price regression.

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References

1978Specification Tests in Econometrics 1978On the Pooling of Time Series and Cross Section Data 1981Panel data and unobservable individual effects 1981Panel Data and Unobservable Individual Effects 1978Hedonic housing prices and the demand for clean air 1986Random group effects and the precision of regression estimates 1969The Use of Error Components Models in Combining Cross Section with Time Series Data 1985Testing the Error Components Model with Non-Normal Disturbances

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