An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
针对面板数据交互效应模型，提出一个LM检验来判断回归元与因子载荷是否条件独立，该检验适用于静态和动态面板，模拟显示小样本性能良好，并在22个数据集上验证了其实用性。
A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE). One area of contention is the hypothesis concerned with whether the regressors and factor loadings are correlated or not. Under the null hypothesis that they are conditionally independent, we can still apply the consistent and robust two-way fixed effects estimator. As an important specification test we develop an LM test for both static and dynamic panels with IE. Simulation results confirm the satisfactory performance of the LM test in small samples. We demonstrate its usefulness with an application to a total of 22 datasets, including static panels with a small T and dynamic panels with serially correlated factors, providing convincing evidence that the null hypothesis is not rejected in