Testing error serial correlation in fixed effects nonparametric panel data models

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 188
Issue: 2
Pages: 466-473

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper we consider the problem of testing serial correlation in fixed effects panel data model in a nonparametric framework. Using asymptotic results developed in Su and Lu (2013), we show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of N under the alternative hypothesis that error is serially correlated, where N is the cross sectional sample size. Simulations show that the proposed test works well in finite sample applications.

Technical Details

RePEc Handle
repec:eee:econom:v:188:y:2015:i:2:p:466-473
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25