A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects
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Publication:2226824
DOI10.1016/j.econlet.2020.109594zbMath1459.62216OpenAlexW3089652832MaRDI QIDQ2226824
Publication date: 9 February 2021
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109594
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Cites Work
- Joint LM test for homoskedasticity in a one-way error component model
- Testing for serial correlation, spatial autocorrelation and random effects using panel data
- A joint serial correlation test for linear panel data models
- Panel data models with multiple time-varying individual effects
- Testing AR(1) against MA(1) disturbances in an error component model
- Moment-based tests for individual and time effects in panel data models
- Testing for heteroskedasticity and serial correlation in a random effects panel data model
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Panel Data Models With Interactive Fixed Effects
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
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