D. Orme, Chris et Yamagata, Takashi, A Heteroskedasticity-Robust F-Test Statistic for Individual Effects, Econometric reviews , 33(5-6), 2014, pp. 431-471
We derive the asymptotic distribution of the standard F-test statistic for fixed effects, in static linear panel data models, under both non-normality and heteroskedasticity of the error terms, when the cross-section dimension is large but the time series dimension is fixed. It is shown that a simple linear transformation of the F-test statistic yields asymptotically valid inferences and under local fixed (or correlated) individual effects, this heteroskedasticity-robust F-test enjoys higher asymptotic power than a suitably robustified Random Effects test. Wild bootstrap versions of these tests are considered which, in a Monte Carlo study, provide more reliable inference in finite samples.