Testing slope homogeneity in large panels with serial correlation
Johan Blomquist and
Joakim Westerlund ()
Economics Letters, 2013, vol. 121, issue 3, 374-378
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)
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Working Paper: Testing slope homogeneity in large panels with serial correlation (2014)
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