Testing for neglected heterogeneity
Abstract
Develops a specification error test sensitive to negelected heterogeneity, which is viewed as causing parameter variation, by deriving a score test of the hypothesis that parameters have zero variance. The test turns out to be the Information Matrix test and is a useful diagnostic for researchers using cross-sectional or longitudinal data to estimate models of individual economic agents behavior. -from Author specification error neglected heterogeneity parameter variation Information Matrix test
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SFA models progress from homogenous assumptions to unobserved heterogeneity per airports behaving differently and neglecting heterogeneity leads to inconsistent parameter estimates.
“SFA models progress from homogenous assumptions (Pels et al., 2003;Kumbhakar et al., 2013) to unobserved heterogeneity (Barros, 2008b;Barros et al., 2017) per airports behaving differently (i.e.residuals individual behaviour) and neglecting heterogeneity leads to inconsistent parameter estimates (Chesher, 1984).”
From Airports’ public infrastructure and sources of inefficiency (2023) · cites this paper as Chesher, 1984
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Airports’ public infrastructure and sources of inefficiency
Ripoll-Zarraga, A. E. (2023) · Journal of Economics, Finance and Administrative Science · doi:10.1108/jefas-12-2021-0269 · Cited by 3 · see citing works
- Authors
- Chesher, A.
- Corresponding author
- Chesher, Andrew
- ORCID
- Chesher, Andrew
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1984-07
- Volume
- 52
- Issue
- 4
- Pages
- 865
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1978580619
- Cited by
- 251
- References
- 0
- Citations by year
- 2026: 1 · 2025: 2 · 2024: 3 · 2023: 4 · 2022: 4 · 2021: 4 · 2020: 4 · 2019: 5 · 2018: 4 · 2017: 9 · 2016: 5 · 2015: 8 · 2014: 10 · 2013: 10 · 2012: 8
- FWCI
- 37.35
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Econometrica (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- UCL Discovery (University College London) (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Bayesian Inference
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Keywords
- parameter variation, score test, information matrix test, cross-sectional data, longitudinal data
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