Testing for Autocorrelation in Dynamic Random Effects Models

DOI10.2307/2297546zbMath0694.62042OpenAlexW2046416154MaRDI QIDQ3470026

Manuel Arellano

Publication date: 1990

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e073cfffe150cb909e98eca748a136d75d9bd83e

zbMATH Keywords

non-normalitysample autocovariancesdummy variablesGLS estimatorAsymptotic efficiencyestimating by three-stage least squares a dynamic random effects model from panel datageneralised linear regressionminimum chi-square teststests of covariance restrictions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Transforming the error-components model for estimation with general ARMA disturbances ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing ⋮ Testing a linear dynamic panel data model against nonlinear alternatives ⋮ Local power of panel unit root tests allowing for structural breaks

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