Testing slope homogeneity in large panels with serial correlation
Data(s) |
01/12/2013
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Resumo |
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. © 2013 Elsevier B.V. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078213/westerlund-testingslope-2013.pdf http://www.dx.doi.org/10.1016/j.econlet.2013.09.012 |
Direitos |
2013, Elsevier |
Palavras-Chave | #C32 #C33 #Heteroskedasticity #Homogeneity #Panel data #Serial correlation #Social Sciences #Economics #Business & Economics |
Tipo |
Journal Article |