A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects

Jianhong Wu

Economics Letters, 2020, vol. 197, issue C

Abstract: In this paper, a joint test is proposed for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects. If the idiosyncratic errors are serially uncorrelated and homoscedastic, the proposed test can be shown to be asymptotically chi-square distributed under some mild conditions. A small Monte Carlo simulation experiment is carried out for illustrations.

Keywords: CCE method; Heteroscedasticity; Interactive effects; Panel data; Serial correlation (search for similar items in EconPapers)
JEL-codes: C1 C12 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303578

DOI: 10.1016/j.econlet.2020.109594

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