A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

DOI10.1017/S0266466606060385zbMATH Open1100.62085OpenAlexW2152004727MaRDI QIDQ3408522FDOQ3408522

Authors: Atsushi Inoue, Gary Solon 

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060385

Recommendations

• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
• Testing for serial correlation in fixed-effects panel data models
• Testing error serial correlation in fixed effects nonparametric panel data models
• A portmanteau test for correlation in short panels
• An automatic portmanteau test for serial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• xtserial
• Analysis of Covariance with Qualitative Data
• How Much Should We Trust Differences-In-Differences Estimates?
• Serial Correlation and the Fixed Effects Model
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance

Cited In (17)

• Corrected portmanteau tests for VAR models with time-varying variance
• Nonparametric dynamic panel data models: kernel estimation and specification testing
• An automatic portmanteau test for serial correlation
• Testing for Trend Specifications in Panel Data Models
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• Testing for serial independence of panel errors
• Testing for serial correlation in hierarchical linear models
• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
• A joint serial correlation test for linear panel data models
• A portmanteau test for correlation in short panels
• Title not available (Why is that?)
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Testing for serial correlation in fixed-effects panel data models
• Testing for Persistence in the Error Component Model: A One-Sided Approach
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• A Test for Slope Heterogeneity in Fixed Effects Models
• Testing for heteroskedasticity in fixed effects models

Uses Software

• Stata
• xtserial

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