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A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects

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  • Wu, Jianhong

Abstract

In this paper, a joint test is proposed for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects. If the idiosyncratic errors are serially uncorrelated and homoscedastic, the proposed test can be shown to be asymptotically chi-square distributed under some mild conditions. A small Monte Carlo simulation experiment is carried out for illustrations.

Suggested Citation

  • Wu, Jianhong, 2020. "A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects," Economics Letters, Elsevier, vol. 197(C).
  • Handle: RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303578
    DOI: 10.1016/j.econlet.2020.109594
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    References listed on IDEAS

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    1. Baltagi, Badi H. & Jung, Byoung Cheol & Song, Seuck Heun, 2010. "Testing for heteroskedasticity and serial correlation in a random effects panel data model," Journal of Econometrics, Elsevier, vol. 154(2), pages 122-124, February.
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    8. Wu, Jianhong & Zhu, Lixing, 2011. "Testing for serial correlation and random effects in a two-way error component regression model," Economic Modelling, Elsevier, vol. 28(6), pages 2377-2386.
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    More about this item

    Keywords

    CCE method; Heteroscedasticity; Interactive effects; Panel data; Serial correlation;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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