NDLI: A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS

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A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS

Content Provider	Scilit
Author	Jochmans, Koen
Copyright Year	2019
Description	Inoue and Solon (2006, Econometric Theory 22, 835–851) presented a test against serial correlation of arbitrary form in fixed-effect models for short panel data. Implementing the test requires choosing a regularization parameter that may severely affect power and for which no optimal selection rule is available. We present a modified version of their test that does not require any regularization parameter. Asymptotic power calculations illustrate the improvement of our procedure. An extension of the approach that accommodates dynamic models is also provided.
Related Links	https://www.repository.cam.ac.uk/bitstream/1810/288750/1/cwpe1886.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/97E8391030419B9F6539647369D3DB93/S0266466619000203a.pdf/div-class-title-a-portmanteau-test-for-correlation-in-short-panels-div.pdf
Ending Page	1166
Page Count	8
Starting Page	1159
ISSN	02664666
e-ISSN	14694360
DOI	10.1017/s0266466619000203
Journal	Econometric Theory
Issue Number	6
Volume Number	36
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2020-12-01
Access Restriction	Open
Subject Keyword	Econometric Theory Statistics and Probability
Content Type	Text
Resource Type	Article
Subject	Social Sciences Economics and Econometrics

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