Marginal homogeneity tests with panel data

Federico Bugni; Jackson Bunting; Muyang Ren

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arXiv · 2408.15862

Marginal homogeneity tests with panel data

Federico Bugni·Jackson Bunting·Muyang Ren

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Abstract

A panel dataset satisfies marginal homogeneity if the time-specific marginal distributions are homogeneous or time-invariant. Marginal homogeneity is relevant in many economic settings, including dynamic discrete games, difference-in-differences models, and finance. In this paper, we propose several tests for the hypothesis of marginal homogeneity and investigate their properties. We consider an asymptotic framework in which the number of individuals n in the panel diverges, while the number of periods T is fixed. We implement our tests by comparing a studentized or non-studentized T-sample version of the Cramer-von Mises statistic with a suitable critical value. We propose three methods for constructing the critical value: asymptotic approximations, the bootstrap, and time permutations. We show that the first two methods result in asymptotically exact hypothesis tests. The permutation test based on a non-studentized statistic is asymptotically exact when T=2, but is asymptotically invalid when T>2. In contrast, the permutation test based on a studentized statistic is always asymptotically exact. Finally, under a time-exchangeability assumption, the permutation test is exact in finite samples, both with and without studentization.

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BibTeX RIS

Federico Bugni, Jackson Bunting, Muyang Ren. 2025-12-05. Marginal homogeneity tests with panel data. https://arxiv.org/abs/2408.15862

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