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Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances

Badi Baltagi (), Chihwa Kao () and Long Liu

A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 347-394 from Emerald Publishing Ltd

Abstract: Abstract This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is based on the corresponding fixed effects feasible generalized least squares (FE-FGLS) estimator of the slope parameter has the standard normal limiting distribution which is valid whether the remainder error is I(0) or I(1). This performs well in Monte Carlo experiments and is recommended.

Keywords: Panel data; generalized least squares; time trend model; fixed effects; first difference; nonstationarity; C23; C33 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances (2015) Downloads
Working Paper: Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances (2014) Downloads
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