Testing for serial independence of panel errors

Zaichao Du

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 248-261

Abstract: A test for the serial independence of errors in panel data models is proposed. The test is based on the difference between the joint empirical characteristic function of residuals at different lags and the product of their marginal empirical characteristic functions. The test is nuisance-parameter-free and powerful against any type of pairwise dependence at all lags. A simple random permutation procedure is used to approximate the limit distribution of the test. A Monte Carlo experiment illustrates the finite sample performance of the test, and supports that the test statistic based on the estimated residuals has the same asymptotic distribution as the corresponding statistic based on the unobservable true errors.

Keywords: Empirical characteristic function; Panel data; Parameter estimation uncertainty; Permutation test; Serial dependence; Unobservable errors (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:248-261

DOI: 10.1016/j.csda.2013.07.031

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