A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models

DOI10.1016/j.jeconom.2016.12.005zbMath1395.62356OpenAlexW1595182511MaRDI QIDQ524816

Andreea G. Halunga, Takashi Yamagata, Chris D. Orme

Publication date: 26 April 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.12.005

zbMATH Keywords

contemporaneous correlationbootstrap schemesheteroskedasticity robust Breusch-Pagan testlinear panel data models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (4)

The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model ⋮ A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* ⋮ Estimation of heterogeneous panels with structural breaks

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