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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Testing slope homogeneity in large panels with serial correlation

Author

  • Johan Blomquist
  • Joakim Westerlund

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