Testing for Autocorrelation in Dynamic Random Effects Models

DOI10.2307/2297546MaRDI QIDQ3470026zbMATH OpenOpenAlexFDO

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

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)

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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 a linear dynamic panel data model against nonlinear alternatives
• Testing model adequacy for dynamic panel data with intercorrelation
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Local power of panel unit root tests allowing for structural breaks
• 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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