A robust specification test in linear panel data models
线性面板数据模型的稳健设定检验
The presence of outlying observations may adversely affect statistical testing procedures that result in unstable test statistics and unreliable inferences depending on the distortion in parameter estimates. In spite of the fact that the adverse effects of outliers in panel data models, there are only a few robust testing procedures available for model specification. In this paper, a new weighted likelihood based robust specification test is proposed to determine the…