Comparison between homogeneity test statistics for panel AR(1) model Lee, Sung Duck; Kim, Sun Woo; Jo, Na Rae;
We can achieve the principle of parsimony and efficiency if homogeneity for panel time series model is satisfied. We suggest a Rao test statistic and a Wald test statistic for the test of homogeneity for panel AR(1) and derived the limit distribution. We performed a simulation to examine statistics with the same chisquare distribution when number of the individual is small and in common with large. We also simulated to compare the empirical power of the statistics in a small panel. In application, we fit panel AR(1) model using regional monthly economical active population data and test homogeneity for panel AR(1). It is satisfied homogeneity, so it could be fitted AR(1) using the sample mean at the time point. We also compare the power of prediction between each individual and pooled model.
panel first order autoregressive model;test of homogeneity;Rao test statistic;Wald test statistic;regional economical active population data;
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