Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Testing slope homogeneity in large panels with serial correlation
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2013
Language
English
Pages
374-378
Publication/Series
Economics Letters
Volume
121
Issue
3
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
Keywords
- Homogeneity
- Panel data
- Serial correlation
- Heteroskedasticity
Status
Published
ISBN/ISSN/Other
- ISSN: 0165-1765