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Testing for serial correlation in fixed-effects panel models

Jesse Wursten

Stata Journal, 2018, vol. 18, issue 1, 76-100

Abstract: Current serial correlation tests for panel models are cumbersome to use, not suited for fixed-effects models, or limited to first-order autocorrelation. To fill this gap, I implement three recently developed tests.

Keywords: xtqptest; xthrtest; xtistest; serial correlation; panel time series; fixed effects; higher-order serial correlation (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:tsj:stataj:v:18:y:2018:i:1:p:76-100