XTHRTEST: Stata module to perform Born & Breitung Bias-corrected HR-test for first order panel serial correlation

Jesse Wursten

Statistical Software Components from Boston College Department of Economics

Abstract: xthrtest implements the heteroscedasticity robust HR-test for panel serial correlation introduced in Born & Breitung (Econometric Reviews, 2016). The test is suited only for fixed effects regressions without gaps and takes ue (c_i + e_it) as input.

Language: Stata
Requires: Stata version 12
Keywords: serial correlation; panel; fixed effects; residual autocorrelation test (search for similar items in EconPapers)
Date: 2016-09-15, Revised 2018-04-07
Note: This module should be installed from within Stata by typing "ssc install xthrtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xthrtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xthrtest.sthlp help file (text/plain)

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