A joint serial correlation test for linear panel data models

DOI10.1016/j.jeconom.2008.08.005zbMath1418.62546OpenAlexW2053097369MaRDI QIDQ295708

Takashi Yamagata

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.005

zbMATH Keywords

dynamic panel datamethod of momentscross section dependence\(m_{2}\) testoveridentifying restrictions testserial correlation testslope heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (9)

A robust test for serial correlation in panel data models ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ Level-based estimation of dynamic panel models ⋮ A modified residual-based test for serial correlation in linear panel data models ⋮ Estimation of and testing for random effects in dynamic panel data models ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ A Joint Test for Conditional Heteroscedasticity in Dynamic Panel Data Models ⋮ Testing for serial correlation in three-dimensional panel data models ⋮ Robust Estimation of Moments in Dynamic Panel Models with Potential Intercorrelation

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