ABSTRACT
We investigate the finite sample performance of the Abrevaya and Dahl (2008) test for coefficient heterogeneity for a correlated random effects ‘mean’ (CREM) panel quantile regression estimator. We assess size and power of the test over a range of sample sizes and panel dimensions. The test is undersized for small-to-moderate sample sizes and displays low power even with a high degree of heteroscedasticity. Size and power improve substantially in larger samples. Our results provide insight for applied researchers.
Acknowledgements
The authors would also like to thank Dr Ken Foster for his helpful comments. This research was supported in part by computational resources provided by Information Technology at Purdue – Rosen Center for Advanced Computing, Purdue University, West Lafayette, Indiana.
Disclosure statement
No potential conflict of interest was reported by the authors.