IDEAS home Printed from https://ideas.repec.org/p/cam/camdae/1886.html

A Portmanteau Test for Correlation in Short Panels

Author

Listed:
  • Jochmans, K.

Abstract

Inoue and Solon (2006, A Portmanteau test for serially correlated errors in fixed effects models, Econometric Theory 22, 835{851) presented an elegant approach to test for serial correlation of arbitrary form in fixed-effect models for short panel data. Their approach requires the choice of a regularization parameter that may severely affect the power of the test and for which no optimal selection rule is available. We present a modified version of their test that uses strictly more information and does not require any regularization parameter. Monte Carlo simulations are provided to illustrate the power gains of our procedure.

Suggested Citation

  • Jochmans, K., 2018. "A Portmanteau Test for Correlation in Short Panels," Cambridge Working Papers in Economics 1886, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1886
    Note: kj345
    as

    Download full text from publisher

    File URL: https://www.econ.cam.ac.uk/sites/default/files/publication-cwpe-pdfs/cwpe1886.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Okui, Ryo, 2009. "Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2897-2909.
    2. David M. Drukker, 2003. "Testing for serial correlation in linear panel-data models," Stata Journal, StataCorp LLC, vol. 3(2), pages 168-177, June.
    3. Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(6), pages 814-823, December.
    4. Inoue, Atsushi & Solon, Gary, 2006. "A Portmanteau Test For Serially Correlated Errors In Fixed Effects Models," Econometric Theory, Cambridge University Press, vol. 22(5), pages 835-851, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sinha, Apra & Sedai, Ashish Kumar, 2025. "National river conservation plan and water pollutants in India," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 2192-2206.
    2. 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.
    3. Jochmans, Koen, 2023. "Many (Weak) Judges in Judge-Leniency Designs," TSE Working Papers 23-1481, Toulouse School of Economics (TSE).
    4. Sonja Đuričin & Isidora Beraha & Olivera Jovanović & Marija Mosurović Ružičić & Marija Lazarević-Moravčević & Mihailo Paunović, 2022. "The Efficiency of National Innovation Policy Programs: The Case of Serbia," Sustainability, MDPI, vol. 14(14), pages 1-14, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Okui, Ryo, 2009. "Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2897-2909.
    2. Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
    3. Koen Jochmans, 2020. "Testing for correlation in error‐component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 860-878, November.
    4. 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.
    5. D'Adamo, Gaetano & Rovelli, Riccardo, 2015. "Labour Market Institutions and Inflation Differentials in the EU," IZA Discussion Papers 9389, Institute of Labor Economics (IZA).
    6. Kishan P K V, 2017. "Globalization and Inequality- A Pathway Through Education (Revised as on 02.04.18)," IIMA Working Papers WP 2017-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    7. Thorsten Grohsjean & Tobias Kretschmer & Nils Stieglitz, 2011. "Performance Feedback, Firm Resources, and Strategic Change," DRUID Working Papers 11-02, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies.
    8. Shin, Jaeun, 2012. "Private health insurance in South Korea: An international comparison," Health Policy, Elsevier, vol. 108(1), pages 76-85.
    9. Zhao, Jihong & Ren, Ling & Lovrich, Nicholas P., 2010. "Budgetary support for police services in U.S. municipalities: Comparing political culture, socioeconomic characteristics and incrementalism as rival explanations for budget share allocation to police," Journal of Criminal Justice, Elsevier, vol. 38(3), pages 266-275, May.
    10. Serhan Cevik, 2017. "Size matters: fragmentation and vertical fiscal imbalances in Moldova," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(2), pages 367-381, May.
    11. Avner Ben-Ner & Darla J Hamann & Gabriel Koepp & Chimnay U Manohar & James Levine, 2014. "Treadmill Workstations: The Effects of Walking while Working on Physical Activity and Work Performance," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-11, February.
    12. Barabas, György & Kitlinski, Tobias & Schmidt, Christoph M. & Schmidt, Torsten & Siemers, Lars-H. & Brilon, Werner, 2010. "Verkehrsinfrastrukturinvestitionen: Wachstumsaspekte im Rahmen einer gestaltenden Finanzpolitik. Endbericht - Januar 2010. Forschungsprojekt im Auftrag des Bundesministeriums der Finanzen. Projektnumm," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 72601.
    13. Klaus Friesenbichler, 2016. "Inflation and Broadband Revisited. Evidence from an OECD Panel," WIFO Working Papers 527, WIFO.
    14. Badi H. Baltagi & Long Liu, 2020. "Forecasting with unbalanced panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 709-724, August.
    15. Okui Ryo, 2014. "Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 129-181, July.
    16. Ben Lennox Kail & Jill Quadagno & Marc Dixon, 2009. "Can States Lead the Way to Universal Coverage? The Effect of Health‐Care Reform on the Uninsured," Social Science Quarterly, Southwestern Social Science Association, vol. 90(5), pages 1341-1360, December.
    17. Du, Zaichao, 2014. "Testing for serial independence of panel errors," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 248-261.
    18. Mr. Serhan Cevik, 2014. "Fragmentation and Vertical Fiscal Imbalances Lessons from Moldova," IMF Working Papers 2014/233, International Monetary Fund.
    19. Jochmans, K., 2019. "Testing Correlation in Error-Component Models," Cambridge Working Papers in Economics 1993, Faculty of Economics, University of Cambridge.
    20. Andrea Morescalchi & Sjoerd Hardeman, 2015. "Technological diversity and the impact of regional innovation: evidence for the EU," ERSA conference papers ersa15p1250, European Regional Science Association.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:1886. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.