Serial Correlation and the Fixed Effects Model

DOI10.2307/2297285MaRDI QIDQ3962394zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 1982

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

Full work available at URL https://doi.org/10.2307/2297285

zbMATH Keywords

panel datafixed effects modelMonte-Carlo methodsGLS estimatorOLS residualsDurbin-Watson type statisticssurvey of income dynamicstests for random walk residualstests of serial correlation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cited in

(24)

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• Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option
• The Hausman-Taylor panel data model with serial correlation
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• Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US
• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Nonlinear GMM estimation in dynamic panels with serially correlated unobservables
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Test for serial correlation in panel data models with interactive fixed effects
• Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
• Testing for serial correlation in fixed-effects panel data models
• Optimal data collection design in machine learning: the case of the fixed effects generalized least squares panel data model
• A robust test for serial correlation in panel data models
• Useful matrix transformations for panel data analysis: a survey
• A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

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