Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators

DOI10.1016/J.MATCOM.2008.08.006zbMath1171.62052OpenAlexW1988204765MaRDI QIDQ834320

Ryo Okui

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.006

zbMATH Keywords

panel datadouble asymptoticstesting serial correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (4)

Testing for serial independence of panel errors ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing

Uses Software

• Stata
• Ox
• xtserial

Cites Work

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• On a measure of lack of fit in time series models
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• How Much Should We Trust Differences-In-Differences Estimates?
• UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
• Linear Regression Limit Theory for Nonstationary Panel Data
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
• Income Variance Dynamics and Heterogeneity
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Tests for the error component model in the presence of local misspecification

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