Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators

DOI10.1016/j.matcom.2008.08.006zbMath1171.62052OpenAlexW1988204765MaRDI QIDQ834320

Ryo Okui

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.006

zbMATH Keywords

panel datadouble asymptoticstesting serial correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items

Testing for serial independence of panel errors ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing

Uses Software

• Stata
• Ox
• xtserial

Cites Work

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