A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects

DOI10.1016/j.econlet.2020.109594zbMath1459.62216OpenAlexW3089652832MaRDI QIDQ2226824

Yanyan Li

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

zbMATH Keywords

heteroscedasticityserial correlationpanel datainteractive effectsCCE method

Mathematics Subject Classification ID

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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