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

Institutionen för ekonomi

Publikation: Bidrag till tidskrift › Artikel i vetenskaplig tidskrift › Peer review

Sammanfattning

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.

Originalspråk	Engelska
Sidor (från-till)	374-378
Antal sidor	5
Tidskrift	Economics Letters
Volym	121
Nummer	3
DOI	https://doi.org/10.1016/j.econlet.2013.09.012
Status	Publicerad - 2013

Nyckelord

Homogeneity
Panel data
Serial correlation
Heteroskedasticity

Åtkomst av dokument

10.1016/j.econlet.2013.09.012

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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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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

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