Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095881 | Journal of Econometrics | 2015 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Carl Green, Wei Long, Cheng Hsiao,