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dc.contributor.authorJochmans, K.
dc.date.accessioned2019-02-04T12:13:53Z
dc.date.available2019-02-04T12:13:53Z
dc.date.issued2018-12-21
dc.identifier.otherCWPE1886
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/288750
dc.description.abstractInoue and Solon (2006, A Portmanteau test for serially correlated errors in fixed effects models, Econometric Theory 22, 835{851) presented an elegant approach to test for serial correlation of arbitrary form in fixed-effect models for short panel data. Their approach requires the choice of a regularization parameter that may severely affect the power of the test and for which no optimal selection rule is available. We present a modified version of their test that uses strictly more information and does not require any regularization parameter. Monte Carlo simulations are provided to illustrate the power gains of our procedure.
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectfixed effects
dc.subjectpanel data
dc.subjectstatistical power
dc.subjectserial correlation
dc.subjecttest
dc.titleA Portmanteau Test for Correlation in Short Panels
dc.typeWorking Paper
dc.identifier.doi10.17863/CAM.36011


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