Testing for Autocorrelation in Dynamic Random Effects Models

DOI10.2307/2297546zbMATH Open0694.62042OpenAlexW2046416154MaRDI QIDQ3470026FDOQ3470026

Authors: Manuel Arellano 

Publication date: 1990

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e073cfffe150cb909e98eca748a136d75d9bd83e

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zbMATH Keywords

sample autocovariancesnon-normalitydummy variablesGLS estimatorAsymptotic efficiencyestimating by three-stage least squares a dynamic random effects model from panel datageneralised linear regressionminimum chi-square teststests of covariance restrictions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (10)

• Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
• Testing for autocorrelation in non-stationary dynamic systems of equations
• Nonparametric dynamic panel data models: kernel estimation and specification testing
• Tests for special causes with multivariate autocorrelated data
• Testing model adequacy for dynamic panel data with intercorrelation
• Testing a linear dynamic panel data model against nonlinear alternatives
• Local power of panel unit root tests allowing for structural breaks
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Estimation of and testing for random effects in dynamic panel data models
• Transforming the error-components model for estimation with general ARMA disturbances

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