Pseudo-Gaussian and Rank-Based Tests for First-Order Superdiagonal Bilinear Models in Panel Data

Aziz Lmakri; Abdelhadi Akharif; Amal Mellouk; Mohamed Fihri

doi:10.57805/revstat.v19i3.349

Pseudo-Gaussian and Rank-Based Tests for First-Order Superdiagonal Bilinear Models in Panel Data

Authors

Aziz Lmakri Abdelmalek Essaadi University https://orcid.org/0000-0002-5855-6250
Abdelhadi Akharif Abdelmalek Essaadi University https://orcid.org/0000-0002-6279-9503
Amal Mellouk Regional Center for Education and Training Trades https://orcid.org/0000-0002-8931-9709
Mohamed Fihri Mohammed-V University in Rabat https://orcid.org/0000-0001-6499-7258

DOI:

https://doi.org/10.57805/revstat.v19i3.349

Keywords:

panel data, first-order superdiagonal bilinear model, local asymptotic normality, pseudo-Gaussian test, rank test, asymptotic relative efficiency

Abstract

In this paper, locally asymptotically optimal (in the H´ajek-Le Cam sense) parametric, pseudo-Gaussian and rank-based procedures are proposed for the problem of testing randomness against first-order superdiagonal bilinear panel dependence (in large n and small T panels). Local powers and asymptotic relative efficiencies are computed and show that the van der Waerden version of our rank-based tests uniformly dominates. Small-sample performances are investigated via simulations and confirm the theoretical findings, they also demonstrate the remarkable performances of rank procedures based on data-driven scores.

Downloads

REVSTAT2021v19n3_6

Published

2021-07-23

How to Cite

Lmakri , A., Akharif , A., Mellouk , A., & Fihri , M. (2021). Pseudo-Gaussian and Rank-Based Tests for First-Order Superdiagonal Bilinear Models in Panel Data. REVSTAT-Statistical Journal, 19(3), 443–462. https://doi.org/10.57805/revstat.v19i3.349