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Testing Slope Homogeneity in Large Panels with Serial Correlation

Author

Listed:
  • Johan Blomquist

    (Lund University)

  • JoakimWesterlund

    (Deakin University)

Abstract

Pesaran and Yamagata (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.

Suggested Citation

  • Johan Blomquist & JoakimWesterlund, "undated". "Testing Slope Homogeneity in Large Panels with Serial Correlation," Working Papers 2014_04, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2014_04
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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2014_04.pdf
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    Cited by:

    1. Blomquist, Johan & Westerlund, Joakim, 2013. "Testing slope homogeneity in large panels with serial correlation," Economics Letters, Elsevier, vol. 121(3), pages 374-378.

    More about this item

    Keywords

    Homogeneity; Panel data; Serial correlation; Heteroskedasticity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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