An exact method for testing equality of several groups in panel data models

Abstract

Panel data models can be found in many areas such as economics, social science, medicine, and epidemiology. In the last decade, the inference of regression coefficients in panel data models has seen development. In this paper, we introduce three pivotal quantities to implement an equality hypothesis on the regression coefficients vectors. We show that our newly proposed methods have advantages over the other methods in practical implementation. In a simulation study, we compare our proposed approaches with the generalized p-value method in different cases based on the actual size and powers of the equality hypothesis. We also apply our methods on the Gasoline panel data as a real dataset.