Testing slope homogeneity in large panels with serial correlation

Johan Blomquist and Joakim Westerlund

Economics Letters, 2013, vol. 121, issue 3, 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.

Keywords: Homogeneity; Panel data; Serial correlation; Heteroskedasticity (search for similar items in EconPapers)
JEL-codes: C32 C33 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (129)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513004199
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing slope homogeneity in large panels with serial correlation (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:374-378

DOI: 10.1016/j.econlet.2013.09.012

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().