A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models
AbstractHong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. We extend Gencay’s (2011) time series test for serial correlation to the panel data case in the framework proposed by Hong and Kao (2004). Our new test maintains the advantages of the Hong and Kao (2004) test, and it is simpler and easier to implement. Furthermore, simulation results show that our test has quicker convergence and hence better small-sample properties.
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Bibliographic InfoPaper provided by Lund University, Department of Economics in its series Working Papers with number 2013:39.
Length: 13 pages
Date of creation: 28 Nov 2013
Date of revision:
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Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
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energy distribution; MODWT; serial correlation; static and dynamic panel models;
Other versions of this item:
- Li, Yushu & Andersson, Fredrik N. G., 2014. "A simple wavelet-based test for serial correlation in panel data models," Discussion Papers 2014/11, Department of Business and Management Science, Norwegian School of Economics.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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