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Testing for serial correlation in fixed-effects panel models

Author

Listed:
  • Jesse Wursten

    (KU Leuven)

Abstract

Current serial correlation tests for panel models are cumbersome to use, not suited for fixed-effects models, or limited to first-order autocorrelation. To fill this gap, I implement three recently developed tests.

Suggested Citation

  • Jesse Wursten, 2018. "Testing for serial correlation in fixed-effects panel models," Stata Journal, StataCorp LP, vol. 18(1), pages 76-100, March.
    • Handle: RePEc:tsj:stataj:v:18:y:2018:i:1:p:76-100
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    Citations

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    Cited by:

    1. Jiaqi Xiao & Artūras Juodis & Yiannis Karavias & Vasilis Sarafidis & Jan Ditzen, 2023. "Improved tests for Granger noncausality in panel data," Stata Journal, StataCorp LP, vol. 23(1), pages 230-242, March.
    2. Manuela Ortega-Gil & Chaima ElHichou-Ahmed & Antonio Mata-García, 2022. "Effects of Immigrants, Health, and Ageing on Economic Growth in the European Union," IJERPH, MDPI, vol. 20(1), pages 1-17, December.
    3. Cepparulo, Alessandra & Eusepi, Giuseppe & Giuriato, Luisa, 2020. "Public finances and Public Private Partnerships in the European Union," MPRA Paper 103918, University Library of Munich, Germany.
    4. Vighneswara Swamy & Munusamy Dharani, 2021. "Thresholds in finance–growth nexus: Evidence from G‐7 economies," Australian Economic Papers, Wiley Blackwell, vol. 60(1), pages 1-40, March.
    5. Renz, Franziska M. & Vogel, Julian U.N. & Xie, Feixue, 2023. "Do as they say or do as they do? — Uncovering the effects of inappropriate methods and unreliable data in boardroom diversity research," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 410-420.
    6. Jochmans, K. & Verardi, V., 2019. "xtserialpm: A portmanteau test for serial correlation in a linear panel model," Cambridge Working Papers in Economics 1944, Faculty of Economics, University of Cambridge.
    7. Matheus Koengkan & José Alberto Fuinhas & Emad Kazemzadeh & Fariba Osmani & Nooshin Karimi Alavijeh, 2022. "Measuring the economic efficiency performance in Latin American and Caribbean countries: An empirical evidence from stochastic production frontier and data envelopment analysis," International Economics, CEPII research center, issue 169, pages 43-54.
    8. Georgios Mavropoulos & Theodore Panagiotidis, 2023. "The role of relative income in the share of children born out-of-wedlock in the USA," Empirical Economics, Springer, vol. 64(3), pages 1105-1120, March.
    9. Dumont, Michel, 2022. "Public support to business research and development in Belgium: fourth evaluation," MPRA Paper 115418, University Library of Munich, Germany.
    10. Gregory, Richard P., 2024. "Risk premiums from temperature trends," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 505-525.

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