Testing serial correlation in semiparametric panel data models

DOI10.1016/S0304-4076(98)00013-XMaRDI QIDQ1305628zbMATH OpenOpenAlexWikidataFDO

Authors Qi Li, Cheng Hsiao

Publication date 22 September 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(98)00013-x

zbMATH Keywords

semiparametric estimationpartially linear modelindividual effectstesting serial correlationdynamical panel data model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

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• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
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• Efficient estimation of models for dynamic panel data
• Estimating long-run relationships from dynamic heterogeneous panels
• Formulation and estimation of dynamic models using panel data
• Nonparametric and Semiparametric Estimation with Discrete Regressors
• On the root-\(n\)-consistent semiparametric estimation of partially linear models
• Root-N-Consistent Semiparametric Regression
• Semiparametric Estimation of Index Coefficients
• Semiparametric estimation of partially linear panel data models
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions

Cited in

(41)

• Local GMM estimation of semiparametric panel data with smooth coefficient models
• Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model
• Empirical likelihood-based serial correlation testing in partially varying coefficient single-index models
• Zero finite-order serial correlation test in a partially linear single-index model
• Testing for error correlation in partially functional linear regression models
• Testing Serial Correlation in Partially Linear Additive Errors-in-variables Models
• Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models
• Testing serial correlation in partially linear single-index errors-in-variables models
• Assessing white noise assumption with semi-parametric additive partial linear models
• Testing error serial correlation in fixed effects nonparametric panel data models
• Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model
• A modified residual-based test for serial correlation in linear panel data models
• Testing for serial independence of panel errors
• Test of hypotheses in a time trend panel data model with serially correlated error component disturbances
• Serial correlation test in partially linear panel data models with fixed effects
• Testing for serial correlation in fixed-effects panel data models
• Testing for common autocorrelation in data-rich environments
• Detecting serial correlat101 in the error structure of a cross-lagged panel model
• Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
• Testing serial correlation in partially linear additive models
• Testing Serial Correlation in Semiparametric Time Series Models
• Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
• Testing model adequacy for dynamic panel data with intercorrelation
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Testing for serial correlation in hierarchical linear models
• Testing for shifts in a time trend panel data model with serially correlated error component disturbances
• On instrumental variable estimation of semiparametric dynamic panel data models.
• Multilevel and nonlinear panel data models
• Testing serial correlations in semiparametric time-varying coefficient models
• Testing for serial correlation in three-dimensional panel data models
• A portmanteau test for correlation in short panels
• Testing serial correlation in single index models
• Significance test in nonstationary logit panel model with serially correlated dependent variable
• A joint serial correlation test for linear panel data models
• Testing for serial correlation in the presence of stochastic volatility
• Correlation testing in time series, spatial and cross-sectional data
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data
• Testing Serial Correlation in Partial Linear Errors-in-Variables Models Based on Empirical Likelihood
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
• scientific article; zbMATH DE number 3942852 (Why is no real title available?)
• Testing serial correlation in semiparametric varying-coefficient partially linear EV models

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