A joint serial correlation test for linear panel data models

DOI10.1016/J.JECONOM.2008.08.005zbMATH Open1418.62546OpenAlexW2053097369MaRDI QIDQ295708FDOQ295708

Authors: Takashi Yamagata 

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.005

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zbMATH Keywords

method of momentscross section dependencedynamic panel data\(m_{2}\) testoveridentifying restrictions testserial correlation testslope heterogeneity

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Cites Work

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Cited In (13)

• A modified residual-based test for serial correlation in linear panel data models
• Level-based estimation of dynamic panel models
• A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects
• Testing for serial independence of panel errors
• Specification tests and tests for overidentifying restrictions in panel data models with selection
• Robust estimation of moments in dynamic panel models with potential intercorrelation
• Cross-Sectional Dependence in Panel Data Analysis
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data
• Estimation of and testing for random effects in dynamic panel data models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• A robust test for serial correlation in panel data models
• A joint test for conditional heteroscedasticity in dynamic panel data models
• Testing for serial correlation in three-dimensional panel data models

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