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Testing serial correlation in semiparametric panel data models

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  • Li, Q.
  • Hsiao, C.

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  • Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
  • Handle: RePEc:eee:econom:v:87:y:1998:i:2:p:207-237
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    References listed on IDEAS

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    1. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-355, December.
    2. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
    3. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    4. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
    5. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
    6. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    7. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    8. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    9. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 239-253.
    10. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    11. Delgado, Miguel A & Mora, Juan, 1995. "Nonparametric and Semiparametric Estimation with Discrete Regressors," Econometrica, Econometric Society, vol. 63(6), pages 1477-1484, November.
    12. Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
    13. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    14. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
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    Cited by:

    1. Li, Kui-Wai & Zhou, Xianbo, 2010. "Openness, domestic performance and growth," Economics Letters, Elsevier, vol. 107(1), pages 13-16, April.
    2. Daniel L. Millimet & John A. List & Thanasis Stengos, 2003. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1038-1047, November.
    3. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
    4. Zongwu Cai & Ying Fang & Henong Li, 2013. "Weak Instrumental Variables Models for Longitudinal Data," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    5. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    6. Neckermann, Susanne & Cueni, Reto & Frey, Bruno S., 2014. "Awards at work," Labour Economics, Elsevier, vol. 31(C), pages 205-217.
    7. Kui-Wai Li, 2014. "An analysis on economic opportunity," Applied Economics, Taylor & Francis Journals, vol. 46(33), pages 4060-4074, November.
    8. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
    9. repec:spr:stpapr:v:58:y:2017:i:2:d:10.1007_s00362-015-0705-z is not listed on IDEAS
    10. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
    11. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
    12. Polemis, Michael L. & Stengos, Thanasis, 2015. "Does market structure affect labour productivity and wages? Evidence from a smooth coefficient semiparametric panel model," Economics Letters, Elsevier, vol. 137(C), pages 182-186.
    13. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Hannover Economic Papers (HEP) dp-319, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    14. König, Anja, 1997. "Schätzen und Testen in semiparametrischen partiell linearen Modellen für die Paneldatenanalyse," Hannover Economic Papers (HEP) dp-208, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1321-1342, October.
    16. Hu, Xuemei & Wang, Zhizhong & Liu, Feng, 2008. "Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1560-1569, September.
    17. Neophyta Empora & Theofanis Mamuneas, 2011. "The Effect of Emissions on U.S. State Total Factor Productivity Growth," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 149-172, October.
    18. Baltagi, Badi H. & Li, Qi, 2002. "On instrumental variable estimation of semiparametric dynamic panel data models," Economics Letters, Elsevier, vol. 76(1), pages 1-9, June.
    19. Neophyta Empora, 2017. "Air pollution spillovers and U.S. state productivity growth," University of Cyprus Working Papers in Economics 06-2017, University of Cyprus Department of Economics.
    20. Susanne Neckermann & Reto Cueni & Bruno S. Frey, 2009. "What is an Award Worth? An Econometric Assessment of the Impact of Awards on Employee Performance," CESifo Working Paper Series 2657, CESifo Group Munich.

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