A joint serial correlation test for linear panel data models
From MaRDI portal
Publication:295708
DOI10.1016/j.jeconom.2008.08.005zbMath1418.62546MaRDI QIDQ295708
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
dynamic panel data; method of moments; cross section dependence; \(m_{2}\) test; overidentifying restrictions test; serial correlation test; slope heterogeneity
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62F05: Asymptotic properties of parametric tests
Related Items
A robust test for serial correlation in panel data models, Cross-Sectional Dependence in Panel Data Analysis, A modified residual-based test for serial correlation in linear panel data models, Testing for serial correlation in three-dimensional panel data models, Estimation of and testing for random effects in dynamic 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, Robust Estimation of Moments in Dynamic Panel Models with Potential Intercorrelation, A Joint Test for Conditional Heteroscedasticity in Dynamic Panel Data Models
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