Testing error serial correlation in fixed effects nonparametric panel data models

Carl Green, Wei Long () and Cheng Hsiao

Journal of Econometrics, 2015, vol. 188, issue 2, 466-473

Abstract: In this paper we consider the problem of testing serial correlation in fixed effects panel data model in a nonparametric framework. Using asymptotic results developed in Su and Lu (2013), we show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of N under the alternative hypothesis that error is serially correlated, where N is the cross sectional sample size. Simulations show that the proposed test works well in finite sample applications.

Keywords: Panel data model; Nonparametric; Test serial correlation; Fixed effects (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:188:y:2015:i:2:p:466-473

DOI: 10.1016/j.jeconom.2015.03.011

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