Testing for heteroskedasticity and serial correlation in a random effects panel data model

DOI10.1016/j.jeconom.2009.04.009zbMath1431.62584OpenAlexW3121743403MaRDI QIDQ2630153

Badi H. Baltagi, Seuck Heun Song, Byoung Cheol Jung

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://surface.syr.edu/cpr/56

zbMATH Keywords

likelihood ratiorandom effectsserial correlationpanel dataheteroskedasticityLagrange multiplier tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (15)

High dimensional cross-sectional dependence test under arbitrary serial correlation ⋮ Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ A robust test for serial correlation in panel data models ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ A Simple Heteroscedasticity Removing Filter ⋮ Reweighted least trimmed squares: an alternative to one-step estimators ⋮ A control function approach to estimate panel data binary response model ⋮ Spatial-temporal Model with Heterogeneous Random Effects ⋮ Inference about clustering and parametric assumptions in covariance matrix estimation ⋮ Hypothesis testing based on a vector of statistics ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Moment-based tests for individual and time effects in panel data models ⋮ Robust tests for heteroskedasticity in the one-way error components model

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Joint LM test for homoskedasticity in a one-way error component model
• Transforming the error-components model for estimation with general ARMA disturbances
• Testing AR(1) against MA(1) disturbances in an error component model
• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• Useful matrix transformations for panel data analysis: a survey
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Tests for the error component model in the presence of local misspecification
• Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results

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