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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
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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

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