Testing slope homogeneity in large panels with serial correlation

Johan Blomquist; Joakim Westerlund

doi:10.1016/j.econlet.2013.09.012

Testing slope homogeneity in large panels with serial correlation

Johan Blomquist
, Joakim Westerlund

Department of Economics

Publication: Contribution to journal › Journal article › peer-review

Abstract

Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features. (C) 2013 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	374-378
Number of pages	5
Journal	Economics Letters
Volume	121
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2013.09.012
Publication status	Published - 2013

Keywords

Homogeneity
Panel data
Serial correlation
Heteroskedasticity

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10.1016/j.econlet.2013.09.012

Cite this

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abstract = "Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features. (C) 2013 Elsevier B.V. All rights reserved.",

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author = "Johan Blomquist and Joakim Westerlund",

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language = "English",

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journal = "Economics Letters",

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T1 - Testing slope homogeneity in large panels with serial correlation

AU - Blomquist, Johan

AU - Westerlund, Joakim

PY - 2013

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N2 - Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features. (C) 2013 Elsevier B.V. All rights reserved.

AB - Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50-93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features. (C) 2013 Elsevier B.V. All rights reserved.

KW - Homogeneity

KW - Panel data

KW - Serial correlation

KW - Heteroskedasticity

KW - Homogeneity

KW - Panel data

KW - Serial correlation

KW - Heteroskedasticity

UR - https://res.slu.se/id/publ/55925

U2 - 10.1016/j.econlet.2013.09.012

DO - 10.1016/j.econlet.2013.09.012

M3 - Journal article

SN - 0165-1765

VL - 121

SP - 374

EP - 378

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Testing slope homogeneity in large panels with serial correlation

Abstract

Keywords

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