A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

DOI10.1017/S0266466606060385MaRDI QIDQ3408522zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
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• An automatic portmanteau test for serial correlation

Cites work

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

Cited in

(17)

• 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
• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
• An automatic portmanteau test for serial correlation
• Corrected portmanteau tests for VAR models with time-varying variance
• A Test for Slope Heterogeneity in Fixed Effects Models
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Testing for Persistence in the Error Component Model: A One-Sided Approach
• scientific article; zbMATH DE number 1124636 (Why is no real title available?)
• Testing for serial independence of panel errors
• Testing for serial correlation in fixed-effects panel data models
• Testing for serial correlation in hierarchical linear models
• A portmanteau test for correlation in short panels
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• A joint serial correlation test for linear panel data models
• Nonparametric dynamic panel data models: kernel estimation and specification testing
• Testing for heteroskedasticity in fixed effects models

Describes a project that uses

Uses Software

• Stata
• xtserial

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