Testing serial correlation in semiparametric panel data models

DOI10.1016/S0304-4076(98)00013-XzbMath0943.62039OpenAlexW2114452426WikidataQ127186139 ScholiaQ127186139MaRDI QIDQ1305628

Cheng Hsiao, Q. Li

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

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

Related Items (19)

Assessing white noise assumption with semi-parametric additive partial linear models ⋮ Multilevel and nonlinear panel data models ⋮ Testing Serial Correlation in Semiparametric Time Series Models ⋮ Testing for error correlation in partially functional linear regression models ⋮ Zero finite-order serial correlation test in a partially linear single-index model ⋮ Testing Serial Correlation in Partial Linear Errors-in-Variables Models Based on Empirical Likelihood ⋮ Testing serial correlation in semiparametric varying-coefficient partially linear EV models ⋮ Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model ⋮ Testing Serial Correlation in Partially Linear Single-Index Errors-in-Variables Models ⋮ Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model ⋮ Testing error serial correlation in fixed effects nonparametric panel data models ⋮ Empirical likelihood-based serial correlation testing in partially varying coefficient single-index models ⋮ NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS ⋮ Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models ⋮ Testing Serial Correlation in Partially Linear Additive Errors-in-variables Models ⋮ Testing serial correlation in partially linear additive models ⋮ Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models ⋮ Testing Serial Correlation in Single Index Models ⋮ On instrumental variable estimation of semiparametric dynamic panel data models.

Cites Work

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• Semiparametric estimation of partially linear panel data models
• On the root-\(n\)-consistent semiparametric estimation of partially linear models
• Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions
• Root-N-Consistent Semiparametric Regression
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• Semiparametric Estimation of Index Coefficients
• Nonparametric and Semiparametric Estimation with Discrete Regressors
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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