@article{62b8919af22a499db7ef67d33e7af536,
title = "Homogeneity tests for one-way models with dependent errors under correlated groups",
abstract = "We consider the problem of testing for the existence of fixed effects and random effects in one-way models, where the groups are correlated and the disturbances are dependent. The classical F-statistic in the analysis of variance is not asymptotically distribution-free in this setting. To overcome this problem, we propose a new test statistic for this problem without any distributional assumptions, so that the test statistic is asymptotically distribution-free. The proposed test statistic takes the form of a natural extension of the classical F-statistic in the sense of distribution-freeness. The new tests are shown to be asymptotically size α and consistent. The nontrivial power under local alternatives is also elucidated. The theoretical results are justified by numerical simulations for the model with disturbances from linear time series with innovations of symmetric random variables, heavy-tailed variables, and skewed variables, and furthermore from GARCH models. The proposed test is applied to log-returns for stock prices and uncovers random effects in sectors.",
keywords = "Dynamic panel data, Fixed effect, Homogeneity test, Longitudinal data, One-way model, Random effect",
author = "Yuichi Goto and Koichi Arakaki and Yan Liu and Masanobu Taniguchi",
note = "Funding Information: The authors are grateful to the editor and two referees for their instructive comments. The authors gratefully acknowledge Mr. Takeshi Tamaoka, the chief executive officer of Ananas Japan Co. Ltd, and Mr. Yuki Nakayasu, the chief executive officer of Minsetsu Inc., for their comments from practical points of view on the real data analysis. This work was supported by JSPS Grant-in-Aid for Research Activity Start-up under Grant Number JP21K20338 (Y.G.); JSPS Grant-in-Aid for Scientific Research (C) under Grant Number JP20K11719 (Y.L.); JSPS Grant-in-Aid for Scientific Research (S) under Grant Number JP18H05290 (M.T.); and the Research Institute for Science & Engineering of Waseda University (M.T.). This work was mainly carried out when the first author was affiliated with Waseda University. Funding Information: The authors are grateful to the editor and two referees for their instructive comments. The authors gratefully acknowledge Mr. Takeshi Tamaoka, the chief executive officer of Ananas Japan Co. Ltd, and Mr. Yuki Nakayasu, the chief executive officer of Minsetsu Inc., for their comments from practical points of view on the real data analysis. This work was supported by JSPS Grant-in-Aid for Research Activity Start-up under Grant Number JP21K20338 (Y.G.); JSPS Grant-in-Aid for Scientific Research (C) under Grant Number JP20K11719 (Y.L.); JSPS Grant-in-Aid for Scientific Research (S) under Grant Number JP18H05290 (M.T.); and the Research Institute for Science & Engineering of Waseda University (M.T.). This work was mainly carried out when the first author was affiliated with Waseda University. Publisher Copyright: {\textcopyright} 2022, The Author(s) under exclusive licence to Sociedad de Estad{\'i}stica e Investigaci{\'o}n Operativa.",
year = "2023",
month = mar,
doi = "10.1007/s11749-022-00828-9",
language = "English",
volume = "32",
pages = "163--183",
journal = "Test",
issn = "1133-0686",
publisher = "Springer New York",
number = "1",
}