Testing slope homogeneity in large panels with serial correlation
(2013) In Economics Letters 121(3). p.374-378- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4176880
- author
- Blomquist, Johan LU and Westerlund, Joakim LU
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Homogeneity, Panel data, Serial correlation, Heteroskedasticity
- in
- Economics Letters
- volume
- 121
- issue
- 3
- pages
- 374 - 378
- publisher
- Elsevier
- external identifiers
-
- wos:000329145500007
- scopus:84885798317
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2013.09.012
- language
- English
- LU publication?
- yes
- id
- aaff1767-1b46-4826-905e-1e7e903be2ee (old id 4176880)
- date added to LUP
- 2016-04-01 11:13:12
- date last changed
- 2022-04-20 17:50:54
@article{aaff1767-1b46-4826-905e-1e7e903be2ee, 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.}}, author = {{Blomquist, Johan and Westerlund, Joakim}}, issn = {{0165-1765}}, keywords = {{Homogeneity; Panel data; Serial correlation; Heteroskedasticity}}, language = {{eng}}, number = {{3}}, pages = {{374--378}}, publisher = {{Elsevier}}, series = {{Economics Letters}}, title = {{Testing slope homogeneity in large panels with serial correlation}}, url = {{http://dx.doi.org/10.1016/j.econlet.2013.09.012}}, doi = {{10.1016/j.econlet.2013.09.012}}, volume = {{121}}, year = {{2013}}, }