Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Testing slope homogeneity in large panels with serial correlation
Författare
Summary, in English
Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50–93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2013
Språk
Engelska
Sidor
374-378
Publikation/Tidskrift/Serie
Economics Letters
Volym
121
Issue
3
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Homogeneity
- Panel data
- Serial correlation
- Heteroskedasticity
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0165-1765