Publications of Blanchard, P.

Robustness of tests for error components models to non-normality

A comprehensive empirical evaluation is presented of the sensitivity to non-normality of the main tests for individual effects in a one-way error components panel data model.

Blanchard P, Mátyás L. Misspecified heterogeneity in panel data models. Monash University Department of Econometrics and Business Statistics Monash Econometrics and Business Statistics Working Papers: 10/95; 1995.

Misspecified heterogeneity in panel data models

In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.