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Testing slope homogeneity in large panels with serial correlation

Blomquist, Johan LU and Westerlund, Joakim LU (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:
author
and
organization
publishing date
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}},
}