The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model is derived under near-epoch dependence and a maintained assumption of contem-poraneously exogenous regressors. Local power is found to depend nontrivially on the rel-ative panel size, on the width of the local neighborhood, and on the maintained notion of exogeneity under the alternative. Some (dis)similarities between this test and already existing test principles are explored.(c) 2021 The Author(s). Published by Elsevier B.V. on behalf of EcoSta Econometrics and Statistics. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )
On the local power of some tests of strict exogeneity in linear fixed effects models
Mayer, A
2022-01-01
Abstract
The local asymptotic power of a variable addition test for strict exogeneity in a linear panel model is derived under near-epoch dependence and a maintained assumption of contem-poraneously exogenous regressors. Local power is found to depend nontrivially on the rel-ative panel size, on the width of the local neighborhood, and on the maintained notion of exogeneity under the alternative. Some (dis)similarities between this test and already existing test principles are explored.(c) 2021 The Author(s). Published by Elsevier B.V. on behalf of EcoSta Econometrics and Statistics. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )
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